Asymmetric Forecast Densities for US Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Grants

Funding Acknowledgements

The authors thank the editorial team, participants at the 4th ESOBE and 8th CFE annual workshops, and staff at the Narodowy Bank Polski for many helpful comments, as well as Todd Clark and Francesco Ravazzolo for providing their data and code, and also helpful suggestions. The authors are grateful to Tom Stark for helpful comments on the Survey of Professional Forecasters. This work was partially supported by Australian Research Council Future Fellowship FT110100729.