differences of opinion is left, and hence volatility is decreased. …

VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine … transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data … the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …

horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation …

volatility. For forecasting, the choice among outlier-robust error structures is less important, however, when a large cross …