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.
(2006): Asset allocation with a high dimensional latent factor stochastic volatility model, The Review of Financial Studies, 19, 237--271
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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.