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Exchange rate predictability in a changing world

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Forecasting with a state space time-varying parameter VAR model : evidence from the Euro area

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Hierarchical shrinkage in time-varying parameter models

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A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States

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The time-varying evolution of inflation risks

Korobilis, Dimitris; Landau, Bettina; Musso, Alberto; … - 2021

This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting in ation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting in ation with the ability of quantile regression to...