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Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
16 references·1 citing·40 second hop
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References

  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2012International Journal of Central Banking1,258 cited
  • 2015Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts1,145 cited
  • 2008The Time-Varying Volatility of Macroeconomic Fluctuations844 cited
  • 2001A real-time data set for macroeconomists787 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited
  • 2010Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules510 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2010Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility

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423 cited
  • 2003Inflation Forecast Uncertainty386 cited
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    • 2022Uncertainty before and during COVID‐19: A survey74 cited