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~person:"Clark, Todd E."
~subject:"Forecasting model"
~type_genre:"Graue Literatur"
~type_genre:"Konferenzschrift"
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Forecasting model
Prognoseverfahren
73
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Clark, Todd E.
Marcellino, Massimiliano
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67
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37
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35
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ECONIS (ZBW)
73
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Large vector autoregressions with asymmetric priors
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2015
-
This draft: November 2015
We propose a new algorithm which allows easy
estimation
of Vector Autoregressions (VARs) featuring asymmetric priors …
Persistent link: https://www.econbiz.de/10011389735
Saved in:
2
Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard 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...
Persistent link: https://www.econbiz.de/10013184356
Saved in:
3
Shadow-rate VARs
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2023
censored observations of a latent shadow-rate process, and propose an efficient sampler for Bayesian
estimation
of such “shadow …
Persistent link: https://www.econbiz.de/10014320745
Saved in:
4
Do producer prices help predict consumer prices?
Clark, Todd E.
-
1997
Persistent link: https://www.econbiz.de/10000981153
Saved in:
5
Can out-of-sample forecast comparisons help prevent overfitting?
Clark, Todd E.
-
2000
Persistent link: https://www.econbiz.de/10001554626
Saved in:
6
Averaging forecasts from VARs with uncertain instabilities
Clark, Todd E.
;
McCracken, Michael W.
-
2007
Persistent link: https://www.econbiz.de/10003827262
Saved in:
7
Real-time density forecasts from VARs with stochastic volatility
Clark, Todd E.
-
2009
Persistent link: https://www.econbiz.de/10003844506
Saved in:
8
The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009627354
Saved in:
9
The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009628606
Saved in:
10
No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2014
Persistent link: https://www.econbiz.de/10010363319
Saved in:
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