A time-varying skewness model for Growth-at-Risk
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- Iseringhausen, Martin, 2024. "A time-varying skewness model for Growth-at-Risk," International Journal of Forecasting, Elsevier, vol. 40(1), pages 229-246.
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More about this item
Keywords
Bayesian analysis; downside risk; macro-financial linkages; time variation;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- 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-CWA-2021-10-18 (Central and Western Asia)
- NEP-ECM-2021-10-18 (Econometrics)
- NEP-ETS-2021-10-18 (Econometric Time Series)
- NEP-FDG-2021-10-18 (Financial Development and Growth)
- NEP-MAC-2021-10-18 (Macroeconomics)
- NEP-ORE-2021-10-18 (Operations Research)
- NEP-RMG-2021-10-18 (Risk Management)
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