Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics
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DOI: 10.26509/frbc-wp-202212r
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- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.
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More about this item
Keywords
Density Forecasts; Quantile Regressions; Financial Conditions;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-06-20 (Econometrics)
- NEP-FDG-2022-06-20 (Financial Development and Growth)
- NEP-FOR-2022-06-20 (Forecasting)
- NEP-MAC-2022-06-20 (Macroeconomics)
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