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Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach
14 references·4 citing·33 second hop
Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach (2016)Long memory, economic policy uncertainty …The Impact of the Volatility of Monetary Policy Shocks (2013)The Impact of the Volatility …Measuring Economic Policy Uncertainty (2013)Measuring Economic Policy Unc…Forecasting Inflation (2013)Forecasting InflationEconomic policy uncertainty in the US: Does it matter for the Euro area? (2013)Economic policy uncertainty i…The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model (2012)The time-varying correlation …The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Phillips Curve Inflation Forecasts (2009)Phillips Curve Inflation Fore…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Journal of Applied Econometrics (2006)Journal of Applied Econometri…Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* (2003)Selecting a Nonlinear Time Se…The M3-Competition: results, conclusions and implications (2000)The M3-Competition: results, …Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyEffect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics (2022)Effect of economic policy unc…Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty (2019)Forecasting equity premium in…The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea (2018)The role of economic policy u…Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty (2018)Common business cycles and vo…Inference in Linear Time Series Models with some Unit Roots (1990)Dynamic connectedness of uncertainty across developed economies: A time-varying approach (2018)On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach (2018)Economic policy uncertainty and financial stability–Is there a relation? (2020)Combining forecasts: A review and annotated bibliography (1989)Statistical and Machine Learning forecasting methods: Concerns and ways forward (2018)Recurrent Neural Networks for Time Series Forecasting: Current status and future directions (2020)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Economic policy uncertainty and firm-level investment (2013)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The term structure of inflation expectations (2012)Advances in Forecasting under Instability (2013)Expected Returns in Treasury Bonds (2015)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Policy Uncertainty and Corporate Investment (2015)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)The Effect of Fixed Exchange Rates on Monetary Policy (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)The Mechanism(s) of Neighbourhood Effects: Theory, Evidence, and Policy Implications (2011)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 2009The Impact of Uncertainty Shocks5,941 cited
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  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2000The M3-Competition: results, conclusions and implications1,700 cited
  • 2006Journal of Applied Econometrics979 cited
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  • 2013Economic policy uncertainty in the US: Does it matter for the Euro area?530 cited
  • 2013Forecasting Inflation449 cited
  • 2013The Impact of the Volatility of Monetary Policy Shocks246 cited
  • 2012The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model193 cited
  • 2009Phillips Curve Inflation Forecasts147 cited
  • 2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy*84 cited

Cited by

  • 2018Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty109 cited
  • 2022

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Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics
98 cited
  • 2018The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea96 cited
  • 2019Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty25 cited