A dynamic factor model with jointly evolving level and volatility factors improves density forecast accuracy for international inflation, especially in tails and at medium horizons.
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
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A Dynamic Factor Model for Level and Volatility
A dynamic factor model with jointly evolving level and volatility factors improves density forecast accuracy for international inflation, especially in tails and at medium horizons.