Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Tamás Kiss, Stepan Mazur, Hoang Nguyen, Pär Österholm
| Year of publication: |
2023
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|---|---|
| Authors: | Kiss, Tamás ; Mazur, Stepan ; Nguyen, Hoang ; Österholm, Pär |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 2, p. 347-368
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| Subject: | Bayesian VAR | generalized hyperbolic skew Student's t-distribution | stochastic volatility | VAR-Modell | VAR model | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Prognoseverfahren | Forecasting model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2911 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014292181