estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

frequency and the panel of macroeconomic variables is at a high frequency, we can use our approach for both nowcasting and …

considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters … concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation … risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit …

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … inflation. …

and inflation rates. Building on the lessons from recent advances in time-series econometrics, we suggest instead that one …

maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …

In this paper, it is analyzed whether core money growth helps to predict future inflation in a useful and reliable way … information not contained in the inflation history, that its inclusion in a forecasting model can increase the forecasting … accuracy, and that it has had a strong and stable long-run link to inflation over the last decades. A particularly promising …

We examine recursive out-of-sample forecasting of monthly postwarU.S. core inflation and log price levels. We use … fractional integration and structural breaks in the meanand variance of inflation in the 1970s and 1980s and weincorporate these …) model with those for ARIMA(1,d,1) models withfixed order of d=0 and d=1 for inflation. Comparing meansquared forecast errors …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …