The comparative forecast performance of univariate and multivariate models: an application to real interest rate forecasting

Author:

Bidarkota Prasad V

Publisher

Elsevier BV

Subject

Business and International Management

Reference26 articles.

1. Analysing inflation by the fractionally integrated ARFIMA–GARCH model;Baillie;Journal of Applied Econometrics,1996

2. Bidarkota, P.V., McCulloch, J.H. Optimal univariate inflation forecasting with symmetric stable shocks. Journal of Applied Econometrics (forthcoming).

3. Are higher levels of inflation less predictable? a state-dependent conditional heteroskedasticity approach;Brunner;Journal of Business and Economics Statistics,1993

4. Clements, M.P., Hendry, D.F., 1993. Towards a theory of economic forecasting. Journal of Forecasting.

5. Estimates of the variance of U.S. inflation based upon the ARCH model;Cosimano;Journal of Money, Credit and Banking,1988

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