Does the high-frequency data is helpful for forecasting Russian inflation?

Nowcasting Inflation Using High Frequency Data

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Volatility Forecasting with High Frequency Data

The daily volatility is typically unobserved but can be estimated using high frequent tick-by-tick data. In this paper, we study the problem of forecasting the unobserved volatility using past values of measured volatility. Specifically, we use daily estimates of volatility based on high frequency data, called realized variance, and construct the optimal linear forecast of future volatility. Ut...

Forecasting Volatility using High Frequency Data

How Useful is Core Inflation for Forecasting Headline Inflation ?

The paper constructs various core inflation measures. These include various trimmed means using disaggregated data and a structural VAR estimate of core inflation for Ireland. The ability of these core inflation measures to forecast future headline inflation is compared using a regression model. An ARIMA model fitted to the headline inflation rate is used as the benchmark forecast. The forecast...

An Inflation Forecasting Model for the 1980s