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by Andrea Nobili
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ahead 1m ahead five steps ARIMA Banca d'Italia Band-Pass Filter Bayesian benchmark model business cycle BVAR-M2 Consumer Price Index CQSP credit quality spread cross-correlation dashed line December dividend yields earning yields eight quarters ahead eight steps ahead endogenous variables equation estimated euro area financial spreads five steps ahead forecasting accuracy forecasting performance FORECASTS solid line four steps ahead growth and inflation Harmonized Consumer Price hyperparameter hystorical values indicator properties Kalman filter lags leading indicators Litterman long-term interest rate LRAT marginal predictive content Mean Square Error Mishkin model comprising monetary aggregates monetary policy NAIVE out-of-sample forecasting output growth prior distribution prior variance real economic activity REAL GDP FORECASTS reverse yield gap RGDP Root Mean Square seven steps ahead short-term interest rate six steps ahead slope SRAT step ahead five steps ahead 1w SYDC Term Structure Theil U statistic three steps ahead time-varying TV-AR yield curve