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Forecasts in a Slightly Misspecified Finite Order VAR

Müller, Ulrich K. - 2011

We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...

Persistent link: https://www.econbiz.de/10012461943

Asymmetric conjugate priors for large Bayesian VARs

Chan, Joshua - 2019

Persistent link: https://www.econbiz.de/10012224053

Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - In: Journal of applied econometrics 32 (2017) 1, pp. 103-119

Persistent link: https://www.econbiz.de/10011688267

Forecasting with VAR models : fat tails and stochastic volatility

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pintér, Gábor - In: International journal of forecasting 33 (2017) 4, pp. 1124-1143

Persistent link: https://www.econbiz.de/10011746951

On business cycle fluctuations in USA macroeconomic time series

Kiani, Khurshid M. - In: Economic modelling 53 (2016), pp. 179-186

Persistent link: https://www.econbiz.de/10011640993

Anticipating business-cycle turning points in real time using density forecasts from a VAR

Schreiber, Sven; Soldatenkova, Natalia - In: Journal of macroeconomics 47 (2016), pp. 166-187

Persistent link: https://www.econbiz.de/10011707598

Forecasting Peruvian macroeconomic variables with Bayesian Vector autorregressions with time-varying in the mean

Pérez Forero, Fernando - 2021

Persistent link: https://www.econbiz.de/10012543349

Tail forecasting with multivariate Bayesian additive regression trees

Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2021

Persistent link: https://www.econbiz.de/10012489943

How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice

Dimitriadis, Timo; Halbleib, Roxana - 2019

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES … assumption that allows for a simple computation of daily VaR and ES by scaling up their intraday counterparts computed from data … VaR and ES estimates and show that our method outperforms standard ones in accurately estimating and forecasting VaR and …

Persistent link: https://www.econbiz.de/10012317619

Marginal or copula : which one is critical?

Choi, Pilsun; Min, Insik - In: Applied economics letters 20 (2013) 16/18, pp. 1462-1465

Persistent link: https://www.econbiz.de/10010213173