Comparison of Models for Growth-at-Risk Forecasting
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DOI: 10.31477/rjmf.202201.23
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Cited by:
- Lorena Skufi & Adam Geršl, 2023.
"Using Macrofinancial Models to Simulate Macroeconomic Developments During the COVID-19 Pandemic: The Case of Albania,"
Eastern European Economics, Taylor & Francis Journals, vol. 61(5), pages 517-553, September.
- Lorena Skufi & Adam Gersl, 2022. "Using Macro-Financial Models to Simulate Macroeconomic Developments During the Covid-19 Pandemic: The Case of Albania," Working Papers IES 2022/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2022.
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More about this item
Keywords
growth-at-risk; quantile regression; quantile random forest; GARCH; backtesting;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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