Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
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DOI: 10.26509/frbc-wp-201715
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- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
- Todd E Clark & Michael W McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," BIS Working Papers 667, Bank for International Settlements.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 17-15R, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 2017-026, Federal Reserve Bank of St. Louis.
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More about this item
Keywords
Stochastic volatility; survey forecasts; fan charts;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2017-10-01 (Econometric Time Series)
- NEP-FOR-2017-10-01 (Forecasting)
- NEP-MAC-2017-10-01 (Macroeconomics)
- NEP-MON-2017-10-01 (Monetary Economics)
- NEP-ORE-2017-10-01 (Operations Research)
Statistics
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