Modeling tail risks of inflation using unobserved component quantile regressions
Year of publication: |
2022
|
---|---|
Authors: | Pfarrhofer, Michael |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 143.2022, p. 1-19
|
Subject: | Stochastic volatility | Predictive inference | State space models | Time-varying parameters | Zustandsraummodell | State space model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Theorie | Theory | Inflation | Regressionsanalyse | Regression analysis |
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