Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility. (2015). Ravazzolo, Francesco ; Clark, Todd.
In: Journal of Applied Econometrics.
RePEc:wly:japmet:v:30:y:2015:i:4:p:551-575.

Full description at Econpapers || Download paper

Cited: 200

Citations received by this document

Cites: 0

References cited by this document

Cocites: 0

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

    Full description at Econpapers || Download paper

  2. Does energy consumption play a key role? Re-evaluating the energy consumption-economic growth nexus from GDP growth rates forecasting. (2024). Hu, Shiyang ; Ma, Feng ; Lu, Fei.
    In: Energy Economics.
    RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007661.

    Full description at Econpapers || Download paper

  3. Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

    Full description at Econpapers || Download paper

  4. Improving the robustness of Markov-switching dynamic factor models with time-varying volatility. (2024). Royer, Julien ; Aumond, Romain.
    In: Working Papers.
    RePEc:crs:wpaper:2024-04.

    Full description at Econpapers || Download paper

  5. Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Wo, Tomasz ; Uzeda, Luis ; Shang, Fei.
    In: Papers.
    RePEc:arx:papers:2404.11057.

    Full description at Econpapers || Download paper

  6. Inflation Target at Risk: A Time-varying Parameter Distributional Regression. (2024). Zhu, Dan ; Oka, Tatsushi ; Wang, Yunyun.
    In: Papers.
    RePEc:arx:papers:2403.12456.

    Full description at Econpapers || Download paper

  7. .

    Full description at Econpapers || Download paper

  8. Shadow-rate VARs. (2023). Mertens, Elmar ; Marcellino, Massimiliano ; Clark, Todd E ; Carriero, Andrea.
    In: Discussion Papers.
    RePEc:zbw:bubdps:142023.

    Full description at Econpapers || Download paper

  9. Real?time forecasting of the Australian macroeconomy using flexible Bayesian VARs. (2023). Zhang, BO ; Nguyen, Bao ; Hou, Chenghan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:2:p:418-451.

    Full description at Econpapers || Download paper

  10. TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES. (2023). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd E.
    In: International Economic Review.
    RePEc:wly:iecrev:v:64:y:2023:i:3:p:979-1022.

    Full description at Econpapers || Download paper

  11. BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS. (2023). Korobilis, Dimitris ; Koop, Gary.
    In: International Economic Review.
    RePEc:wly:iecrev:v:64:y:2023:i:3:p:1047-1074.

    Full description at Econpapers || Download paper

  12. Simultaneous identification of fiscal and monetary policy shocks. (2023). Mansur, Alfan.
    In: Empirical Economics.
    RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02352-z.

    Full description at Econpapers || Download paper

  13. Jane Haldimand Marcet: Impact of Monetary Policy Shocks in the Peruvian Economy Over Time. (2023). Rodriguez, Gabriel ; Rojo, Flavio Perez.
    In: Documentos de Trabajo / Working Papers.
    RePEc:pcp:pucwps:wp00523.

    Full description at Econpapers || Download paper

  14. Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2023-1.

    Full description at Econpapers || Download paper

  15. Bayesian predictive distributions of oil returns using mixed data sampling volatility models. (2023). Virbickaite, Audrone ; Nguyen, Hoang ; Tran, Minh-Ngoc.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008784.

    Full description at Econpapers || Download paper

  16. Nowcasting GDP with a pool of factor models and a fast estimation algorithm. (2023). Schroder, Maximilian ; Eraslan, Sercan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:3:p:1460-1476.

    Full description at Econpapers || Download paper

  17. Real-time inflation forecasting using non-linear dimension reduction techniques. (2023). Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:2:p:901-921.

    Full description at Econpapers || Download paper

  18. The COVID-19 shock and challenges for inflation modelling. (2023). Hartwig, Benny ; Bobeica, Elena.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:1:p:519-539.

    Full description at Econpapers || Download paper

  19. Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods. (2023). Urquhart, Andrew ; Duan, Kun ; Huang, Yingying.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001597.

    Full description at Econpapers || Download paper

  20. Geopolitical risk and economic policy uncertainty: Different roles in Chinas financial cycle. (2023). Li, Yujia ; Zhu, Zixiang ; Che, Ming.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003836.

    Full description at Econpapers || Download paper

  21. Large stochastic volatility in mean VARs. (2023). Poon, Aubrey ; Koop, Gary ; Hou, Chenghan ; Cross, Jamie L.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:236:y:2023:i:1:s030440762300163x.

    Full description at Econpapers || Download paper

  22. Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model. (2023). Timmermann, Allan ; Sabbatucci, Riccardo ; Pettenuzzo, Davide.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1522-1541.

    Full description at Econpapers || Download paper

  23. Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

    Full description at Econpapers || Download paper

  24. Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x.

    Full description at Econpapers || Download paper

  25. Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

    Full description at Econpapers || Download paper

  26. From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin.
    In: Papers.
    RePEc:arx:papers:2311.16333.

    Full description at Econpapers || Download paper

  27. BVARs and Stochastic Volatility. (2023). Chan, Joshua.
    In: Papers.
    RePEc:arx:papers:2310.14438.

    Full description at Econpapers || Download paper

  28. .

    Full description at Econpapers || Download paper

  29. Bayesian VARs and prior calibration in times of COVID-19. (2022). Hartwig, Benny.
    In: Discussion Papers.
    RePEc:zbw:bubdps:522022.

    Full description at Econpapers || Download paper

  30. Macroeconomic forecasting in a multi?country context. (2022). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea ; Bai, YU.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:6:p:1230-1255.

    Full description at Econpapers || Download paper

  31. Nowcasting tail risk to economic activity at a weekly frequency. (2022). Marcellino, Massimiliano ; Clark, Todd E ; Carriero, Andrea.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:5:p:843-866.

    Full description at Econpapers || Download paper

  32. Robust inference under time?varying volatility: A real?time evaluation of professional forecasters. (2022). Krusebecher, Robinson ; Hanck, Christoph ; Demetrescu, Matei.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:5:p:1010-1030.

    Full description at Econpapers || Download paper

  33. The global component of inflation volatility. (2022). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:4:p:700-721.

    Full description at Econpapers || Download paper

  34. How to estimate a vector autoregression after March 2020. (2022). Primiceri, Giorgio E ; Lenza, Michele.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:4:p:688-699.

    Full description at Econpapers || Download paper

  35. An automated prior robustness analysis in Bayesian model comparison. (2022). Zhu, Dan ; Jacobi, Liana.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:3:p:583-602.

    Full description at Econpapers || Download paper

  36. Forecasting oil Prices: can large BVARs help?. (2022). Zhang, BO ; Nguyen, BH.
    In: Working Papers.
    RePEc:tas:wpaper:47522.

    Full description at Econpapers || Download paper

  37. Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships. (2022). Wroblewska, Justyna ; Pajor, Anna.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:12:y:2022:i:3:d:10.1007_s40822-022-00203-x.

    Full description at Econpapers || Download paper

  38. Quantum Computing and Deep Learning Methods for GDP Growth Forecasting. (2022). Fernandez-Gamez, Manuel A ; Salas, Belen M ; Alaminos, David.
    In: Computational Economics.
    RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10110-z.

    Full description at Econpapers || Download paper

  39. Elicitability of Instance and Object Ranking. (2022). Werner, Tino.
    In: Decision Analysis.
    RePEc:inm:ordeca:v:19:y:2022:i:2:p:123-140.

    Full description at Econpapers || Download paper

  40. Constructing Fan Charts from the Ragged Edge of SPF Forecasts. (2022). Mertens, Elmar ; Ganics, Gergely ; Clark, Todd.
    In: Working Papers.
    RePEc:fip:fedcwq:95170.

    Full description at Econpapers || Download paper

  41. Is empirical granularity high enough to cause aggregate fluctuations? The closeness to Gaussian. (2022). Yoshiyuki, Arata.
    In: Discussion papers.
    RePEc:eti:dpaper:22039.

    Full description at Econpapers || Download paper

  42. Optimal probabilistic forecasts: When do they work?. (2022). Ramírez Hassan, Andrés ; Loaiza Maya, Rubén ; Loaiza-Maya, Ruben ; Martin, Gael M ; Ramirez-Hassan, Andres ; Frazier, David T ; Maneesoonthorn, Worapree.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:1:p:384-406.

    Full description at Econpapers || Download paper

  43. Predicting returns and dividend growth — The role of non-Gaussian innovations. (2022). Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003445.

    Full description at Econpapers || Download paper

  44. Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148.

    Full description at Econpapers || Download paper

  45. Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

    Full description at Econpapers || Download paper

  46. Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan.
    In: European Economic Review.
    RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439.

    Full description at Econpapers || Download paper

  47. Fast and accurate variational inference for models with many latent variables. (2022). Danaher, Peter J ; Nott, David J ; Smith, Michael Stanley ; Loaiza-Maya, Ruben.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:2:p:339-362.

    Full description at Econpapers || Download paper

  48. Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach. (2022). Milacic, Veselin ; Milosevic, Igor ; Jolicic, Ivan ; Radulovic, Mladen ; Mihailovic, Andrej ; Bracanovic, Andrej ; Muhadinovic, Milica ; Bojaj, Martin M.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000384.

    Full description at Econpapers || Download paper

  49. Stochastic debt sustainability analysis using time-varying fiscal reaction functions. An agnostic approach to fiscal forecasting. (2022). Dubbert, Tore.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:10422.

    Full description at Econpapers || Download paper

  50. Aggregate accounting earnings, special items and growth in gross domestic product: evidence from Australia. (2022). Fargher, Neil ; Zhang, Lijuan.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:62:y:2022:i:2:p:2467-2496.

    Full description at Econpapers || Download paper

  51. Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John .
    In: Papers.
    RePEc:arx:papers:2212.03471.

    Full description at Econpapers || Download paper

  52. Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo.
    In: Papers.
    RePEc:arx:papers:2211.16121.

    Full description at Econpapers || Download paper

  53. Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice.
    In: Papers.
    RePEc:arx:papers:2208.00952.

    Full description at Econpapers || Download paper

  54. Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis.
    In: Papers.
    RePEc:arx:papers:2206.04902.

    Full description at Econpapers || Download paper

  55. A Time?Series Model of Interest Rates with the Effective Lower Bound. (2021). Mertens, Elmar ; Johannsen, Benjamin K.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:53:y:2021:i:5:p:1005-1046.

    Full description at Econpapers || Download paper

  56. Predicting returns and dividend growth - the role of non-Gaussian innovations. (2021). Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas.
    In: Working Papers.
    RePEc:hhs:oruesi:2021_010.

    Full description at Econpapers || Download paper

  57. Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. (2021). Österholm, Pär ; Nguyen, Hoang ; Kiss, Tamas ; Osterholm, Par ; Mazur, Stepan.
    In: Working Papers.
    RePEc:hhs:oruesi:2021_009.

    Full description at Econpapers || Download paper

  58. Vector autoregression models with skewness and heavy tails. (2021). Nguyen, Hoang ; Karlsson, Sune ; Mazur, Stepan.
    In: Working Papers.
    RePEc:hhs:oruesi:2021_008.

    Full description at Econpapers || Download paper

  59. Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails. (2021). Österholm, Pär ; Nguyen, Hoang ; Kiss, Tamas ; Osterholm, Par.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:506-:d:660957.

    Full description at Econpapers || Download paper

  60. Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues. (2021). Pacifico, Antonio.
    In: Econometrics.
    RePEc:gam:jecnmx:v:9:y:2021:i:2:p:20-:d:548164.

    Full description at Econpapers || Download paper

  61. Macroeconomic Forecasting in a Multi-country Context. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea ; Bai, Yu.
    In: Working Papers.
    RePEc:fip:fedcwq:93660.

    Full description at Econpapers || Download paper

  62. Tail Forecasting with Multivariate Bayesian Additive Regression Trees. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Huber, Florian ; Clark, Todd ; Koop, Gary.
    In: Working Papers.
    RePEc:fip:fedcwq:90366.

    Full description at Econpapers || Download paper

  63. Addressing COVID-19 Outliers in BVARs with Stochastic Volatility. (2021). Mertens, Elmar ; Clark, Todd ; Marcellino, Massimiliano ; Carriero, Andrea.
    In: Working Papers.
    RePEc:fip:fedcwq:89757.

    Full description at Econpapers || Download paper

  64. Minnesota-type adaptive hierarchical priors for large Bayesian VARs. (2021). Chan, Joshua.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:3:p:1212-1226.

    Full description at Econpapers || Download paper

  65. Bayesian VAR forecasts, survey information, and structural change in the euro area. (2021). Ganics, Gergely ; Odendahl, Florens.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:2:p:971-999.

    Full description at Econpapers || Download paper

  66. Simulation smoothing for nowcasting with large mixed-frequency VARs. (2021). Ankargren, Sebastian ; Joneus, Paulina.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:19:y:2021:i:c:p:97-113.

    Full description at Econpapers || Download paper

  67. Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:225:y:2021:i:1:p:47-73.

    Full description at Econpapers || Download paper

  68. Forecasting natural gas prices using highly flexible time-varying parameter models. (2021). Nguyen, Bao H ; Hou, Chenghan ; Gao, Shen.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002418.

    Full description at Econpapers || Download paper

  69. Bayesian TVP-VARX models with time invariant long-run multipliers. (2021). Polbin, Andrey ; Belomestny, Denis ; Krymova, Ekaterina.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001206.

    Full description at Econpapers || Download paper

  70. Addressing COVID-19 Outliers in BVARs with Stochastic Volatility. (2021). Mertens, Elmar ; Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:15964.

    Full description at Econpapers || Download paper

  71. Macroeconomic uncertainty and forecasting macroeconomic aggregates. (2021). Magnus, Reif.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:5.

    Full description at Econpapers || Download paper

  72. Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs. (2021). Koop, Gary ; Hou, Chenghan ; Cross, Jamie L.
    In: Working Papers.
    RePEc:bny:wpaper:0100.

    Full description at Econpapers || Download paper

  73. Predictive Inference Based on Markov Chain Monte Carlo Output. (2021). Gneiting, Tilmann ; Thorarinsdottir, Thordis ; Lerch, Sebastian ; Kruger, Fabian.
    In: International Statistical Review.
    RePEc:bla:istatr:v:89:y:2021:i:2:p:274-301.

    Full description at Econpapers || Download paper

  74. Forecasting Italian GDP growth with epidemiological data. (2021). Villa, Stefania ; Flaccadoro, Marco ; Conteduca, Francesco ; Emiliozzi, Simone ; Borin, Alessandro ; Aprigliano, Valentina ; Marchetti, Sabina.
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_664_21.

    Full description at Econpapers || Download paper

  75. Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan.
    In: Papers.
    RePEc:arx:papers:2105.11182.

    Full description at Econpapers || Download paper

  76. Sparse Bayesian vector autoregressions in huge dimensions. (2020). Kastner, Gregor ; Huber, Florian.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:7:p:1142-1165.

    Full description at Econpapers || Download paper

  77. A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Pfarrhofer, Michael ; Huber, Florian ; Piribauer, Philipp.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:6:p:911-926.

    Full description at Econpapers || Download paper

  78. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors. (2020). Mertens, Elmar ; McCracken, Michael ; Clark, Todd.
    In: The Review of Economics and Statistics.
    RePEc:tpr:restat:v:102:y:2020:i:1:p:17-33.

    Full description at Econpapers || Download paper

  79. Real-time forecasting of the Australian macroeconomy using Bayesian VARs. (2020). Nguyen, Bao H ; Zhang, BO.
    In: Working Papers.
    RePEc:tas:wpaper:35236.

    Full description at Econpapers || Download paper

  80. Forecasting natural gas prices using highly flexible time-varying parameter models. (2020). Nguyen, Bao H ; Hou, Chenghan ; Gao, Shen.
    In: Working Papers.
    RePEc:tas:wpaper:32412.

    Full description at Econpapers || Download paper

  81. The macroeconomic effects of COVID-19 in Montenegro: a Bayesian VARX approach. (2020). Bojaj, Martin M ; Djurovic, Vasilije.
    In: Financial Innovation.
    RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00207-z.

    Full description at Econpapers || Download paper

  82. Structural Panel Bayesian VAR with Multivariate Time-varying Volatility to jointly deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues. (2020). Pacifico, Antonio.
    In: MPRA Paper.
    RePEc:pra:mprapa:104292.

    Full description at Econpapers || Download paper

  83. Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails. (2020). Österholm, Pär ; Osterholm, Par ; Nguyen, Hoang ; Kiss, Tamas.
    In: Working Papers.
    RePEc:hhs:oruesi:2020_013.

    Full description at Econpapers || Download paper

  84. Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers.
    RePEc:fip:fedcwq:87375.

    Full description at Econpapers || Download paper

  85. Bayesian state space models in macroeconometrics. (2020). Strachan, Rodney.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2020-90.

    Full description at Econpapers || Download paper

  86. How important are global factors for understanding the dynamics of international capital flows?. (2020). Huber, Florian ; Schuberth, Helene ; Eller, Markus.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301777.

    Full description at Econpapers || Download paper

  87. Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts. (2020). Chan, Joshua ; Cross, Jamie L ; Zhang, BO.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:4:p:1318-1328.

    Full description at Econpapers || Download paper

  88. Comparing the forecasting performances of linear models for electricity prices with high RES penetration. (2020). Gianfreda, Angelica ; Rossini, Luca ; Ravazzolo, Francesco.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:3:p:974-986.

    Full description at Econpapers || Download paper

  89. Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity. (2020). Poon, Aubrey ; Hou, Chenghan ; Cross, Jamie L.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:3:p:899-915.

    Full description at Econpapers || Download paper

  90. Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy. (2020). Zaman, Saeed ; Tallman, Ellis W.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:2:p:373-398.

    Full description at Econpapers || Download paper

  91. Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x.

    Full description at Econpapers || Download paper

  92. From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14267.

    Full description at Econpapers || Download paper

  93. Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus.
    In: ifo Beiträge zur Wirtschaftsforschung.
    RePEc:ces:ifobei:87.

    Full description at Econpapers || Download paper

  94. Energy Markets and Global Economic Conditions. (2020). Korobilis, Dimitris ; Baumeister, Christiane ; Lee, Thomas K.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8282.

    Full description at Econpapers || Download paper

  95. Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8054.

    Full description at Econpapers || Download paper

  96. Identification of structural vector autoregressions by stochastic volatility. (2020). Braun, Robin ; Bertsche, Dominik.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0869.

    Full description at Econpapers || Download paper

  97. Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica.
    In: Working Papers.
    RePEc:bny:wpaper:0088.

    Full description at Econpapers || Download paper

  98. Norges Bank Output Gap Estimates: Forecasting Properties, Reliability and Cyclical Sensitivity. (2020). Furlanetto, Francesco ; Robstad, Orjan ; Hansen, Frank ; Hagelund, Kre.
    In: Working Paper.
    RePEc:bno:worpap:2020_07.

    Full description at Econpapers || Download paper

  99. Trend Fundamentals and Exchange Rate Dynamics. (2020). Kaufmann, Daniel ; Huber, Florian.
    In: Economica.
    RePEc:bla:econom:v:87:y:2020:i:348:p:1016-1036.

    Full description at Econpapers || Download paper

  100. From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely.
    In: Working Papers.
    RePEc:bge:wpaper:1142.

    Full description at Econpapers || Download paper

  101. The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1285_20.

    Full description at Econpapers || Download paper

  102. Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin.
    In: Papers.
    RePEc:arx:papers:2012.08155.

    Full description at Econpapers || Download paper

  103. Estimating TVP-VAR models with time invariant long-run multipliers. (2020). Polbin, Andrey ; Krymova, Ekaterina ; Belomestny, Denis.
    In: Papers.
    RePEc:arx:papers:2008.00718.

    Full description at Econpapers || Download paper

  104. Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca.
    In: Papers.
    RePEc:arx:papers:2006.16333.

    Full description at Econpapers || Download paper

  105. Real‐time inflation forecast combination for time‐varying coefficient models. (2019). Zhang, BO.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:38:y:2019:i:3:p:175-191.

    Full description at Econpapers || Download paper

  106. Steady‐state modeling and macroeconomic forecasting quality. (2019). Louzis, Dimitrios.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:34:y:2019:i:2:p:285-314.

    Full description at Econpapers || Download paper

  107. From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Ganics, Gergely ; Rossi, Barbara.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1689.

    Full description at Econpapers || Download paper

  108. One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models. (2019). Wroblewska, Justyna ; Pajor, Anna .
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:11:y:2019:i:1:p:23-45.

    Full description at Econpapers || Download paper

  109. How useful are time-varying parameter models for forecasting economic growth in CESEE?. (2019). Feldkircher, Martin ; Hauzenberger, Nico.
    In: Focus on European Economic Integration.
    RePEc:onb:oenbfi:y:2019:i:q1/19:b:2.

    Full description at Econpapers || Download paper

  110. Hierarchical Forecasting. (2019). Hyndman, Rob ; Affan, Mohamed ; Panagiotelis, Anastasios ; Gamakumara, Puwasala ; Athanasopoulos, George.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2019-2.

    Full description at Econpapers || Download paper

  111. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2019). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:2:p:508-540.

    Full description at Econpapers || Download paper

  112. FORECASTING INDONESIAN INFLATION WITHIN AN INFLATION-TARGETING FRAMEWORK: DO LARGE-SCALE MODELS PAY OFF?. (2019). Juhro, Solikin ; Iyke, Bernard Njindan.
    In: Bulletin of Monetary Economics and Banking.
    RePEc:idn:journl:v:22:y:2019:i:4b:p:423-436.

    Full description at Econpapers || Download paper

  113. WHICH VARIABLES PREDICT INDONESIA’s INFLATION?. (2019). Sharma, Susan Sunila.
    In: Bulletin of Monetary Economics and Banking.
    RePEc:idn:journl:v:22:y:2019:i:1e:p:87-102.

    Full description at Econpapers || Download paper

  114. Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models. (2019). Rossini, Luca ; Bohte, Rick.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:150-:d:268406.

    Full description at Econpapers || Download paper

  115. Impact of Fiscal Policy on Consumption and Labor Supply under a Time-Varying Structural VAR Model. (2019). Shaheen, Rozina.
    In: Economies.
    RePEc:gam:jecomi:v:7:y:2019:i:2:p:57-:d:240644.

    Full description at Econpapers || Download paper

  116. How Likely Is the Zero Lower Bound?. (2019). Matthes, Christian ; Lubik, Thomas.
    In: Economic Quarterly.
    RePEc:fip:fedreq:00065.

    Full description at Econpapers || Download paper

  117. Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility. (2019). Zito, John ; Bognanni, Mark.
    In: Working Papers.
    RePEc:fip:fedcwq:86647.

    Full description at Econpapers || Download paper

  118. An automated prior robustness analysis in Bayesian model comparison. (2019). Chan, Joshua ; Zhu, Dan ; Jacobi, Liana.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2019-45.

    Full description at Econpapers || Download paper

  119. Large Bayesian vector autoregressions. (2019). Chan, Joshua.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2019-19.

    Full description at Econpapers || Download paper

  120. On tail fatness of macroeconomic dynamics. (2019). Liu, Xiaochun.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:62:y:2019:i:c:s0164070418303367.

    Full description at Econpapers || Download paper

  121. Assessing the uncertainty in central banks’ inflation outlooks. (2019). Knüppel, Malte ; Schultefrankenfeld, Guido ; Knuppel, Malte.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:4:p:1748-1769.

    Full description at Econpapers || Download paper

  122. Quasi ex-ante inflation forecast uncertainty. (2019). Díaz, Carlos ; Charemza, Wojciech ; Makarova, Svetlana ; Diaz, Carlos.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:3:p:994-1007.

    Full description at Econpapers || Download paper

  123. Threshold cointegration in international exchange rates:A Bayesian approach. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:2:p:458-473.

    Full description at Econpapers || Download paper

  124. Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior. (2019). Yu, Cindy ; Follett, Lendie .
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:11:y:2019:i:c:p:130-144.

    Full description at Econpapers || Download paper

  125. Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors. (2019). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:137-154.

    Full description at Econpapers || Download paper

  126. Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles. (2019). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhuang, Xin-Tian ; Xiong, Xiong.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:121:y:2019:i:c:p:129-136.

    Full description at Econpapers || Download paper

  127. Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area. (2019). Ganics, Gergely ; Odendahl, Florens.
    In: Working papers.
    RePEc:bfr:banfra:733.

    Full description at Econpapers || Download paper

  128. From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely.
    In: Working Papers.
    RePEc:bde:wpaper:1947.

    Full description at Econpapers || Download paper

  129. Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models. (2019). Rossini, Luca ; Bohte, Rick.
    In: Papers.
    RePEc:arx:papers:1909.06599.

    Full description at Econpapers || Download paper

  130. Assessing the uncertainty in central banks inflation outlooks. (2018). Knüppel, Malte ; Schultefrankenfeld, Guido ; Knuppel, Malte.
    In: Discussion Papers.
    RePEc:zbw:bubdps:562018.

    Full description at Econpapers || Download paper

  131. Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Koop, Gary ; Korobilis, Dimitris.
    In: Working Paper series.
    RePEc:rim:rimwps:18-31.

    Full description at Econpapers || Download paper

  132. Forecasting with High-Dimensional Panel VARs. (2018). Koop, Gary ; Korobilis, Dimitris.
    In: Working Paper series.
    RePEc:rim:rimwps:18-20.

    Full description at Econpapers || Download paper

  133. Dynamics and Interactions of Monetary Policy and Macroeconomic Variables: Empirical Investigation in the UK Economy with Bayesian VAR. (2018). PERVIN, Shahida .
    In: MPRA Paper.
    RePEc:pra:mprapa:91816.

    Full description at Econpapers || Download paper

  134. Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Korobilis, Dimitris ; Koop, Gary.
    In: MPRA Paper.
    RePEc:pra:mprapa:87972.

    Full description at Econpapers || Download paper

  135. Forecasting with High-Dimensional Panel VARs. (2018). Koop, Gary ; Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:84275.

    Full description at Econpapers || Download paper

  136. Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio.
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:demwp0156.

    Full description at Econpapers || Download paper

  137. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors. (2018). Mertens, Elmar ; McCracken, Michael ; Clark, Todd.
    In: Working Papers.
    RePEc:fip:fedcwq:171501.

    Full description at Econpapers || Download paper

  138. A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification. (2018). Bognanni, Mark.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1811.

    Full description at Econpapers || Download paper

  139. Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:4:p:711-732.

    Full description at Econpapers || Download paper

  140. Inversion copulas from nonlinear state space models with an application to inflation forecasting. (2018). Smith, Michael Stanley ; Maneesoonthorn, Worapree.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:3:p:389-407.

    Full description at Econpapers || Download paper

  141. Understanding the US natural gas market: A Markov switching VAR approach. (2018). Hou, Chenghan ; Nguyen, Bao H.
    In: Energy Economics.
    RePEc:eee:eneeco:v:75:y:2018:i:c:p:42-53.

    Full description at Econpapers || Download paper

  142. Comparing hybrid time-varying parameter VARs. (2018). Chan, Joshua ; Eisenstat, Eric.
    In: Economics Letters.
    RePEc:eee:ecolet:v:171:y:2018:i:c:p:1-5.

    Full description at Econpapers || Download paper

  143. Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_273.

    Full description at Econpapers || Download paper

  144. Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates. (2018). Reif, Magnus.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_265.

    Full description at Econpapers || Download paper

  145. Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica.
    In: Working Papers.
    RePEc:bny:wpaper:0060.

    Full description at Econpapers || Download paper

  146. Assessing the Synchronicity and Nature of Australian State Business Cycles. (2018). Poon, Aubrey.
    In: The Economic Record.
    RePEc:bla:ecorec:v:94:y:2018:i:307:p:372-390.

    Full description at Econpapers || Download paper

  147. EUROPEAN CENTRAL BANK FOOTPRINTS ON INFLATION FORECAST UNCERTAINTY. (2018). Makarova, Svetlana .
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:56:y:2018:i:1:p:637-652.

    Full description at Econpapers || Download paper

  148. The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1170_18.

    Full description at Econpapers || Download paper

  149. Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian.
    In: Papers.
    RePEc:arx:papers:1801.06373.

    Full description at Econpapers || Download paper

  150. Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica.
    In: Papers.
    RePEc:arx:papers:1801.01093.

    Full description at Econpapers || Download paper

  151. Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian.
    In: Papers.
    RePEc:arx:papers:1704.03239.

    Full description at Econpapers || Download paper

  152. Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-13.

    Full description at Econpapers || Download paper

  153. A Bayesian Infinite Hidden Markov Vector Autoregressive Model. (2017). van der Wel, Michel ; Nibbering, Didier ; Paap, Richard.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160107.

    Full description at Econpapers || Download paper

  154. MACROECONOMIC FORECAST MODELS – CONCEPTS AND THEORETICAL NOTIONS. (2017). Lilea, Florin Paul Costel ; Marinescu, Andreeaioana ; Costel, Florin Paul .
    In: Romanian Statistical Review Supplement.
    RePEc:rsr:supplm:v:65:y:2017:i:6:p:118-123.

    Full description at Econpapers || Download paper

  155. National Accounts System: Source of Information in Macroeconomic Forecast. (2017). Anghelache, Constantin ; Solomon, Alina-Georgiana ; Madalina - Gabriela Anghel, .
    In: International Journal of Academic Research in Accounting, Finance and Management Sciences.
    RePEc:hur:ijaraf:v:7:y:2017:i:2:p:76-82.

    Full description at Econpapers || Download paper

  156. Forecasting with VAR models: Fat tails and stochastic volatility. (2017). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy).
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1124-1143.

    Full description at Econpapers || Download paper

  157. Forecasting inflation in emerging markets: An evaluation of alternative models. (2017). Mandalinci, Zeyyad.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1082-1104.

    Full description at Econpapers || Download paper

  158. Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

    Full description at Econpapers || Download paper

  159. Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

    Full description at Econpapers || Download paper

  160. Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models. (2017). Wang, Yudong ; Wu, Chongfeng ; Liu, LI.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:337-348.

    Full description at Econpapers || Download paper

  161. The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation. (2017). Dimitrakopoulos, Stefanos .
    In: Economics Letters.
    RePEc:eee:ecolet:v:155:y:2017:i:c:p:14-18.

    Full description at Econpapers || Download paper

  162. Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos .
    In: Economics Letters.
    RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

    Full description at Econpapers || Download paper

  163. Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets.. (2017). Lecat, Remy ; Avouyi-Dovi, Sanvi ; Ray, S ; Labonne, C.
    In: Working papers.
    RePEc:bfr:banfra:620.

    Full description at Econpapers || Download paper

  164. Optimal density forecast combinations. (2017). Ganics, Gergely.
    In: Working Papers.
    RePEc:bde:wpaper:1751.

    Full description at Econpapers || Download paper

  165. Time Series Copulas for Heteroskedastic Data. (2017). Maneesoonthorn, Worapree ; Smith, Michael S ; Loaiza-Maya, Rub'En .
    In: Papers.
    RePEc:arx:papers:1701.07152.

    Full description at Econpapers || Download paper

  166. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors. (2016). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1617.

    Full description at Econpapers || Download paper

  167. Disagreement versus uncertainty: Evidence from distribution forecasts. (2016). Nolte, Ingmar ; Kruger, Fabian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:72:y:2016:i:s:p:s172-s186.

    Full description at Econpapers || Download paper

  168. Density forecasting using Bayesian global vector autoregressions with stochastic volatility. (2016). Huber, Florian.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:3:p:818-837.

    Full description at Econpapers || Download paper

  169. Forecasting structural change and fat-tailed events in Australian macroeconomic variables. (2016). Cross, Jamie ; Poon, Aubrey.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:34-51.

    Full description at Econpapers || Download paper

  170. VAR Models with Non-Gaussian Shocks. (2016). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy).
    In: Discussion Papers.
    RePEc:cfm:wpaper:1609.

    Full description at Econpapers || Download paper

  171. Option-Implied Equity Premium Predictions via Entropic TiltinG. (2016). Pettenuzzo, Davide ; Smith, Aaron ; Metaxoglou, Konstantinos.
    In: Working Papers.
    RePEc:brd:wpaper:99.

    Full description at Econpapers || Download paper

  172. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2016). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio .
    In: Working Papers.
    RePEc:brd:wpaper:75r.

    Full description at Econpapers || Download paper

  173. Oil-price density forecasts of US GDP. (2016). Ravazzolo, Francesco ; Francesco, Ravazzolo ; Philip, Rothman .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:20:y:2016:i:4:p:441-453:n:7.

    Full description at Econpapers || Download paper

  174. Large Vector Autoregressions with Asymmetric Priors. (2015). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp759.

    Full description at Econpapers || Download paper

  175. Forecasting Inflation in Emerging Markets: An Evaluation of Alternative Models. (2015). Mandalinci, Zeyyad.
    In: CReMFi Discussion Papers.
    RePEc:qmm:wpaper:3.

    Full description at Econpapers || Download paper

  176. Forecasting with VAR Models: Fat Tails and Stochastic Volatility. (2015). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy).
    In: CReMFi Discussion Papers.
    RePEc:qmm:wpaper:2.

    Full description at Econpapers || Download paper

  177. Specification tests for time-varying parameter models with stochastic volatility. (2015). Chan, Joshua.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2015-42.

    Full description at Econpapers || Download paper

  178. The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling. (2015). Chan, Joshua ; Joshua C. C. Chan, .
    In: CAMA Working Papers.
    RePEc:een:camaaa:2015-07.

    Full description at Econpapers || Download paper

  179. Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets. (2015). Vortelinos, Dimitrios I.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:27:y:2015:i:c:p:58-67.

    Full description at Econpapers || Download paper

  180. Point and density forecasts for the euro area using Bayesian VARs. (2015). Henzel, Steffen ; Berg, Tim.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:4:p:1067-1095.

    Full description at Econpapers || Download paper

  181. Density forecasts based on disaggregate data: nowcasting Polish inflation. (2015). Mazur, Błażej.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:15:y:2015:p:71-87.

    Full description at Econpapers || Download paper

  182. Oil-Price Density Forecasts of U.S. GDP. (2015). Ravazzolo, Francesco ; Rothman, Philip .
    In: Working Papers.
    RePEc:bny:wpaper:0038.

    Full description at Econpapers || Download paper

  183. The uncertainty of conditional returns, volatilities and correlations in DCC models. (2014). Ruiz, Esther ; Fresoli, Diego .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws140202.

    Full description at Econpapers || Download paper

  184. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Valkanov, Rossen .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10160.

    Full description at Econpapers || Download paper

  185. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Gargano, Antonio .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10104.

    Full description at Econpapers || Download paper

  186. Optimal Portfolio Choice under Decision-Based Model Combinations. (2014). Ravazzolo, Francesco ; Pettenuzzo, Davide.
    In: Working Papers.
    RePEc:brd:wpaper:80.

    Full description at Econpapers || Download paper

  187. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics. (2014). Pettenuzzo, Davide ; Timmermann, Allan ; Valkanov, Rossen .
    In: Working Papers.
    RePEc:brd:wpaper:76.

    Full description at Econpapers || Download paper

  188. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio .
    In: Working Papers.
    RePEc:brd:wpaper:75.

    Full description at Econpapers || Download paper

  189. Have standard VARs remained stable since the crisis?. (2014). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea ; Aastveit, Knut Are.
    In: Working Paper.
    RePEc:bno:worpap:2014_13.

    Full description at Econpapers || Download paper

  190. Bayesian Vector Autoregressions with Non-Gaussian Shocks. (0000). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai.
    In: CReMFi Discussion Papers.
    RePEc:qmm:wpaper:5.

    Full description at Econpapers || Download paper

References

References cited by this document

    This document has not been processed yet.

    You may help us by submiting the list of references

Cocites

Documents in RePEc which have cited the same bibliography

          This document has not co-citation data yet.

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-08 20:25:00 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.