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Does global inflation help forecast inflation in industrialized countries? (r...
Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524-535) propose an inflation forecasting model incorporating a global inflation factor and show that... -
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOL...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized...