Performance of Markov-Switching GARCH Model Forecasting Inflation Uncertainty
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More about this item
Keywords
Markov switching; GARCH; inflation uncertainty;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2017-12-03 (Econometric Time Series)
- NEP-FOR-2017-12-03 (Forecasting)
- NEP-MAC-2017-12-03 (Macroeconomics)
- NEP-ORE-2017-12-03 (Operations Research)
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