Nicolò, Gianni De; Lucchetta, Marcella - CESifo - 2015
(systemic) risks. Forecasts are obtained from: (a) autoregressive and factor-augmented VARs with linear GARCH volatility (FAVARs … that forecasts obtained with autoregressive and FAVAR models significantly underestimate tail risks, while forecasts … and financial risks up to a one-year horizon. …