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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …
Persistent link: https://www.econbiz.de/10012143797
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Have Standard VARs Remained Stable Since the Crisis?
Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …
Persistent link: https://www.econbiz.de/10012143851
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …
Persistent link: https://www.econbiz.de/10013187449
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Shadow-rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding …
Persistent link: https://www.econbiz.de/10014320848
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …
Persistent link: https://www.econbiz.de/10013184356
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Shadow-rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding …
Persistent link: https://www.econbiz.de/10014320745
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011460766
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Large vector autoregressions with stochastic volatility and flexible priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016
Persistent link: https://www.econbiz.de/10011549652
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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 and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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Evaluating conditional forecasts from vector autoregressions
Clark, Todd E.; McCracken, Michael W. - 2014
Persistent link: https://www.econbiz.de/10010423516