Producing Robust Density Forecasts: Applications to Monetary Policy

Lead Research Organisation: Birkbeck, University of London
Department Name: Economics, Mathematics and Statistics

Abstract

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Publications

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Garratt A (2011) Real-time inflation forecast densities from ensemble Phillips curves in The North American Journal of Economics and Finance

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Mitchell J (2011) Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness in Journal of Applied Econometrics