Real‐Time Forecasts of Inflation: The Role of Financial Variables

DOI10.1002/FOR.1250MaRDI QIDQ4687308zbMATH OpenOpenAlexFDO

Authors Libero Monteforte, Gianluca Moretti

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL http://www.dt.tesoro.it/export/sites/sitodt/modules/documenti_it/analisi_progammazione/working_papers/WP_n._6_marzo_2011.pdf

zbMATH Keywords

daily variablesdynamic factor modelseconomic derivativesMIDAS regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors
• Forecasting inflation using dynamic model averaging
• A monetary real-time conditional forecast of euro area inflation
• scientific article; zbMATH DE number 5035835
• Forecast accuracy and effort: the case of US inflation rates
• Forecasting inflation rates with multi-level international dependence
• Fitting observed inflation expectations

Cited in

(6)

• Neural network models for inflation forecasting: a revisit
• A monetary real-time conditional forecast of euro area inflation
• State Space Models and MIDAS Regressions
• Forecasting inflation rates using daily data: a nonparametric MIDAS approach
• Improved Breitung and Roling estimator for mixed-frequency models with application to forecasting inflation rates
• Forecasting high-dimensional non-normal time series using averaged quantile regression

This page was built for publication: Real‐Time Forecasts of Inflation: The Role of Financial Variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687308)