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~institution:"Norges Bank"
~person:"Gao, Jiti"
~person:"Ravazzolo, Francesco"
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
-
Norges Bank
-
2012
, stochastic volatility coupled with fat tails,
GARCH
and mixture of innovation models. The comparison is based on the accuracy of …
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