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.
(2024): Weighted scoringrules: emphasizing particular outcomes when evaluating probabilistic forecasts, Journal of Statistical Software, 110, 1--26
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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.