encompasses a general unrestricted model and it forecast encompasses the competitors when tested on 20 quarters of one step ahead …

series models and distinguishes between different forecast horizons, HICP components and inflation measures. Various … indicate that aggregating forecasts by component does not necessarily help forecast year-on-year inflation twelve months …

that the cyclical position and the form of fiscal governance are major determinants of forecast biases. Projected changes …

To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those …-specification, estimation uncertainty and mis-measurement error. Forecastorigin shifts in parameters affect absolute, but not relative, forecast … accuracies; mis-specification and estimation uncertainty induce forecast-error differences, which variable-selection procedures …

running conditional projections. The forecast performance of the model is rather satisfactory. The model is used to carry out …

, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. …

quarter. For this purpose, we use time series models to forecast the missing observations of monthly indicators. We then …

future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …

error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information … the true out-of-sample PMSE, allowing for possible misspecification of the forecast models under consideration. We first …

unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast …