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A new approach to identifying the real effects of uncertainty shocks
Shin, Minchul; Zhong, Molin - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 367-379
Persistent link: https://www.econbiz.de/10012262481
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Does realized volatility help bond yield density prediction?
Shin, Minchul; Zhong, Molin - In: International journal of forecasting 33 (2017) 2, pp. 373-389
Persistent link: https://www.econbiz.de/10011922068
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Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; Shin, … - 2021
Persistent link: https://www.econbiz.de/10012651332
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High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction
Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020
Persistent link: https://www.econbiz.de/10012373015
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Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - In: Journal of econometrics 201 (2017) 2, pp. 322-332
Persistent link: https://www.econbiz.de/10011920505
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Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2017 - This Version: August 18, 2016
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...
Persistent link: https://www.econbiz.de/10011755749
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DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and t errors
Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2021
Persistent link: https://www.econbiz.de/10012431677
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DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and T errors
Chib, Siddhartha; Shin, Minchul; Tan, Fei - In: Computational economics 61 (2023) 1, pp. 69-111
Persistent link: https://www.econbiz.de/10014228405
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Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
Diebold, Francis X. - 2015
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...
Persistent link: https://www.econbiz.de/10013022416
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Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
Diebold, Francis X. - 2016
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...
Persistent link: https://www.econbiz.de/10012456064