Inflation forecasting, relative price variability and skewness

Binner, Jane M., Elger, Thomas, Jones, Barry E. and Nilsson, Birger (2010). Inflation forecasting, relative price variability and skewness. Applied Economics Letters, 17 (6), pp. 593-596.

Abstract

This article presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness.

Publication DOI: https://doi.org/10.1080/13504850802112260
Divisions: Aston Business School > Economics finance & entrepreneurship
Aston Business School
Uncontrolled Keywords: Economics and Econometrics
Full Text Link: http://www.scopus.com/inward/record.url?scp=77951086382&partnerID=8YFLogxK
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Published Date: 2010
Authors: Binner, Jane M.
Elger, Thomas
Jones, Barry E.
Nilsson, Birger

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