A time-varying skewness model for Growth-at-Risk
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Iseringhausen, Martin, 2024. "A time-varying skewness model for Growth-at-Risk," International Journal of Forecasting, Elsevier, vol. 40(1), pages 229-246.
References listed on IDEAS
- Chib, Siddhartha, 2001. "Markov chain Monte Carlo methods: computation and inference," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 57, pages 3569-3649, Elsevier.
- Martina Hengge, 2019. "Uncertainty as a Predictor of Economic Activity," IHEID Working Papers 19-2019, Economics Section, The Graduate Institute of International Studies.
- Iseringhausen, Martin, 2020.
"The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 275-292.
- Martin Iseringhausen, 2018. "The Time-Varying Asymmetry Of Exchange Rate Returns: A Stochastic Volatility – Stochastic Skewness Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 18/944, Ghent University, Faculty of Economics and Business Administration.
- McCausland, William J. & Miller, Shirley & Pelletier, Denis, 2011. "Simulation smoothing for state-space models: A computational efficiency analysis," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 199-212, January.
- Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2020.
"Leverage and Deepening Business-Cycle Skewness,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 12(1), pages 245-281, January.
- Petrella, Ivan & Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2017. "Leverage and Deepening Business Cycle Skewness," CEPR Discussion Papers 12239, C.E.P.R. Discussion Papers.
- Mogens Fosgerau & Jinwon Kim & Abhishek Ranjan, 2017. "Vickrey Meets Alonso: Commute Scheduling and Congestion in a Monocentric City," Discussion Papers 17-25, University of Copenhagen. Department of Economics.
- Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2017. "Leverage and deepening business cycle skewness," Working Papers 1732, Banco de España.
- Mr. Ananthakrishnan Prasad & Mr. Selim A Elekdag & Mr. Phakawa Jeasakul & Romain Lafarguette & Mr. Adrian Alter & Alan Xiaochen Feng & Changchun Wang, 2019. "Growth at Risk: Concept and Application in IMF Country Surveillance," IMF Working Papers 2019/036, International Monetary Fund.
- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009.
"Nuisance parameters, composite likelihoods and a panel of GARCH models,"
Economics Papers
2009-W12, Economics Group, Nuffield College, University of Oxford.
- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre.
- Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Series Working Papers 458, University of Oxford, Department of Economics.
- Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
- Nicholas Bloom & Fatih Guvenen & Sergio Salgado, 2016.
"Skewed Business Cycles,"
2016 Meeting Papers
1621, Society for Economic Dynamics.
- Sergio Salgado & Fatih Guvenen & Nicholas Bloom, 2019. "Skewed Business Cycles," NBER Working Papers 26565, National Bureau of Economic Research, Inc.
- Sergio Salgado & Fatih Guvenen & Nicholas Bloom, 2019. "Skewed Business Cycles," 2019 Meeting Papers 1189, Society for Economic Dynamics.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2024.
"Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1099-1127, August.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," Working Papers 20-02R, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
- Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," CEPR Discussion Papers 17512, C.E.P.R. Discussion Papers.
- Mikkel Plagborg-Moller & Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "When Is Growth at Risk?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(1 (Spring), pages 167-229.
- Nakajima Jouchi, 2013. "Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 499-520, December.
- Adams, Patrick A. & Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2021.
"Forecasting macroeconomic risks,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1173-1191.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
- Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020. "Forecasting Macroeconomic Risks," CEPR Discussion Papers 14436, C.E.P.R. Discussion Papers.
- Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(4), pages 465-487, December.
- Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
- Joshua C C Chan & Cody Y L Hsiao, 2013. "Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence," CAMA Working Papers 2013-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998.
"Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, "undated". "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, University Library of Munich, Germany.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013.
"Macroeconomic forecasting and structural change,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009. "Macroeconomic Forecasting and Structural Change," Working Papers ECARES 2009_020, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & D'Agostino, Antonello & Gambetti, Luca, 2010. "Macroeconomic forecasting and structural change," Working Paper Series 1167, European Central Bank.
- D'Agostino, Antonello & Gambetti, Luca & Giannone, Domenico & Giannone, Domenico, 2009. "Macroeconomic Forecasting and Structural Change," Research Technical Papers 8/RT/09, Central Bank of Ireland.
- Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009. "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers 7542, C.E.P.R. Discussion Papers.
- Davide Delle Monache & Andrea De Polis & Ivan Petrella, 2024.
"Modeling and Forecasting Macroeconomic Downside Risk,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021. "Modeling and forecasting macroeconomic downside risk," Temi di discussione (Economic working papers) 1324, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2022. "Modeling and Forecasting Macroeconomic Downside Risk," CEPR Discussion Papers 15109, C.E.P.R. Discussion Papers.
- Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
- James Morley & Jeremy Piger, 2012. "The Asymmetric Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 208-221, February.
- Robert F. Engle & Simone Manganelli, 2004.
"CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020.
"Financial variables as predictors of real growth vulnerability,"
Discussion Papers
05/2020, Deutsche Bundesbank.
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," Documents de Travail de l'OFCE 2020-06, Observatoire Francais des Conjonctures Economiques (OFCE).
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," SciencePo Working papers Main hal-03403077, HAL.
- Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," CEPR Discussion Papers 14322, C.E.P.R. Discussion Papers.
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," Working Papers hal-03403077, HAL.
- Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017.
"Tracking the Slowdown in Long-Run GDP Growth,"
The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
- Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2014. "Tracking the Slowdown in Long-Run GDP Growth," Discussion Papers 1604, Centre for Macroeconomics (CFM), revised Jan 2016.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2017. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 81869, London School of Economics and Political Science, LSE Library.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2016. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 86243, London School of Economics and Political Science, LSE Library.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2016. "Tracking the slowdown in long-run GDP growth," Bank of England working papers 587, Bank of England.
- Koop, Gary & Korobilis, Dimitris, 2014.
"A new index of financial conditions,"
European Economic Review, Elsevier, vol. 71(C), pages 101-116.
- Gary Koop & Dimitris Korobilis, "undated". "A new index of financial conditions," Working Papers 2013_06, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
- Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
- Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
- Aida Caldera Sánchez & Oliver Röhn, 2016. "How do policies influence GDP tail risks?," OECD Economics Department Working Papers 1339, OECD Publishing.
- James H. Stock & Mark W. Watson, 2003.
"Has the Business Cycle Changed and Why?,"
NBER Chapters, in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230,
National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 2002. "Has the Business Cycle Changed and Why?," NBER Working Papers 9127, National Bureau of Economic Research, Inc.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015.
"Measuring Uncertainty,"
American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2013. "Measuring Uncertainty," NBER Working Papers 19456, National Bureau of Economic Research, Inc.
- Brownlees, Christian & Souza, André B.M., 2021. "Backtesting global Growth-at-Risk," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 312-330.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991.
"The Term Structure as a Predictor of Real Economic Activity,"
Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
- Piergiorgio Alessandri & Haroon Mumtaz, 2017.
"Financial conditions and density forecasts for US output and inflation,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 24, pages 66-78, March.
- Piergiorgio Alessandri & Haroon Mumtaz, 2013. "Financial conditions and density forecasts for US Output and inflation," Joint Research Papers 4, Centre for Central Banking Studies, Bank of England.
- Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial Conditions and Density Forecasts for US Output and Inflation," Working Papers 715, Queen Mary University of London, School of Economics and Finance.
- Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial conditions and density forecasts for US output and inflation," CReMFi Discussion Papers 1, CReMFi, School of Economics and Finance, QMUL.
- Piergiorgio Alessandri & Haroon Mumtaz, 2017. "Online Appendix to "Financial conditions and density forecasts for US output and inflation"," Online Appendices 14-103, Review of Economic Dynamics.
- Piergiorgio Alessandri & Haroon Mumtaz, 2017. "Code and data files for "Financial conditions and density forecasts for US output and inflation"," Computer Codes 14-103, Review of Economic Dynamics.
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
OUP Catalogue,
Oxford University Press,
edition 2, number 9780199641178.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
- Peter M. Summers, 2005. "What caused the Great Moderation? : some cross-country evidence," Economic Review, Federal Reserve Bank of Kansas City, vol. 90(Q III), pages 5-32.
- James H. Stock & Mark W. Watson, 2003. "Has the Business Cycle Changed? Evidence and Explanations," Working Papers 2003-2, Princeton University. Economics Department..
- Carlos Montes-Galdón & Eva Ortega, 2022.
"Skewed SVARs: Tracking the Structural Sources of Macroeconomic Tail Risks,"
Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 177-210,
Emerald Group Publishing Limited.
- Carlos Montes-Galdón & Eva Ortega, 2022. "Skewed SVARs: tracking the structural sources of macroeconomic tail risks," Working Papers 2208, Banco de España.
- Clark, Todd E. & McCracken, Michael W., 2001.
"Tests of equal forecast accuracy and encompassing for nested models,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
- Boyan Jovanovic & Sai Ma, 2022.
"Uncertainty and Growth Disasters,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 44, pages 33-64, April.
- Boyan Jovanovic & Sai Ma, 2020. "Uncertainty and Growth Disasters," NBER Working Papers 28024, National Bureau of Economic Research, Inc.
- Boyan Jovanovic & Sai Ma, 2020. "Uncertainty and Growth Disasters," International Finance Discussion Papers 1279, Board of Governors of the Federal Reserve System (U.S.).
- Boyan Jovanovic & Sai Ma, 2021. "Code and data files for "Uncertainty and Growth Disasters"," Computer Codes 19-355, Review of Economic Dynamics.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- repec:hal:spmain:info:hdl:2441/4nn4ojjkth8qe9ci5b0hpu7ala is not listed on IDEAS
- Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
- Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016.
"Systemic risk and the macroeconomy: An empirical evaluation,"
Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.
- Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.
- Veldkamp, Laura & Orlik, Anna, 2014.
"Understanding Uncertainty Shocks and the Role of Black Swans,"
CEPR Discussion Papers
10147, C.E.P.R. Discussion Papers.
- Anna Orlik & Laura Veldkamp, 2014. "Understanding Uncertainty Shocks and the Role of Black Swans," NBER Working Papers 20445, National Bureau of Economic Research, Inc.
- Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389, May.
- Hansen, Bruce E, 1994.
"Autoregressive Conditional Density Estimation,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
- Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Tobias Fissler & Johanna F. Ziegel & Tilmann Gneiting, 2015. "Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting," Papers 1507.00244, arXiv.org, revised Jul 2015.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
- Mihail Yanchev, 2022. "Deep Growth-at-Risk Model: Nowcasting the 2020 Pandemic Lockdown Recession in Small Open Economies," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 20-41.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
- Iseringhausen, Martin, 2020.
"The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 275-292.
- Martin Iseringhausen, 2018. "The Time-Varying Asymmetry Of Exchange Rate Returns: A Stochastic Volatility – Stochastic Skewness Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 18/944, Ghent University, Faculty of Economics and Business Administration.
- Pfarrhofer, Michael, 2022.
"Modeling tail risks of inflation using unobserved component quantile regressions,"
Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Michael Pfarrhofer, 2021. "Modeling tail risks of inflation using unobserved component quantile regressions," Papers 2103.03632, arXiv.org, revised Oct 2021.
- Iseringhausen, Martin & Petrella, Ivan & Theodoridis, Konstantinos, 2021.
"Aggregate Skewness and the Business Cycle,"
Cardiff Economics Working Papers
E2021/30, Cardiff University, Cardiff Business School, Economics Section.
- Martin Iseringhausen & Ivan Petrella & Konstantinos Theodoridis, 2022. "Aggregate skewness and the business cycle," Working Papers 53, European Stability Mechanism.
- Iseringhausen, Martin & Petrella, Ivan & Theodoridis, Konstantinos, 2022. "Aggregate Skewness and the Business Cycle," CEPR Discussion Papers 17162, C.E.P.R. Discussion Papers.
- Adams, Patrick A. & Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2021.
"Forecasting macroeconomic risks,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1173-1191.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
- Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020. "Forecasting Macroeconomic Risks," CEPR Discussion Papers 14436, C.E.P.R. Discussion Papers.
- Lhuissier, Stéphane, 2022.
"Financial conditions and macroeconomic downside risks in the euro area,"
European Economic Review, Elsevier, vol. 143(C).
- Lhuissier Stéphane, 2022. "Financial Conditions and Macroeconomic Downside Risks in the Euro Area," Working papers 863, Banque de France.
- Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
- Deng, Chuang & Wu, Jian, 2023. "Macroeconomic downside risk and the effect of monetary policy," Finance Research Letters, Elsevier, vol. 54(C).
- Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
- Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024.
"Daily growth at risk: Financial or real drivers? The answer is not always the same,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 762-776.
- Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2022. ""Daily Growth at Risk: financial or real drivers? The answer is not always the same"," IREA Working Papers 202208, University of Barcelona, Research Institute of Applied Economics, revised Jun 2022.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019.
"Vulnerable Growth,"
American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
- Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2016. "Vulnerable Growth," CEPR Discussion Papers 11583, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2016. "Vulnerable growth," Staff Reports 794, Federal Reserve Bank of New York.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2018. "Vulnerable Growth," Liberty Street Economics 20180409, Federal Reserve Bank of New York.
- Nina Boyarchenko & Domenico Giannone & Tobias Adrian, 2017. "Vulnerable Growth," 2017 Meeting Papers 1317, Society for Economic Dynamics.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2022.
"The global component of inflation volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 700-721, June.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018. "The global component of inflation volatility," Temi di discussione (Economic working papers) 1170, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Carriero, Andrea & Corsello, Francesco, 2019. "The Global Component of Inflation Volatility," CEPR Discussion Papers 13470, C.E.P.R. Discussion Papers.
- Aaron J. Amburgey & Michael W. McCracken, 2023.
"On the real‐time predictive content of financial condition indices for growth,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 137-163, March.
- Aaron Amburgey & Michael W. McCracken, 2022. "On the Real-Time Predictive Content of Financial Conditions Indices for Growth," Working Papers 2022-003, Federal Reserve Bank of St. Louis, revised 03 Jun 2022.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023.
"Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021. "Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances," Working Papers 2021:9, Örebro University, School of Business.
- Simon Lloyd & Ed Manuel & Konstantin Panchev, 2024.
"Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 335-392, March.
- Lloyd, Simon & Manuel, Ed & Panchev, Konstantin, 2021. "Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk," Bank of England working papers 940, Bank of England.
- Lloyd, S. & Manuel, E. & Panchev, K., 2021. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Cambridge Working Papers in Economics 2156, Faculty of Economics, University of Cambridge.
- Lloyd, S. & Manuel, E. & Panchev, K., 2021. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Janeway Institute Working Papers 2102, Faculty of Economics, University of Cambridge.
- Stolbov, Mikhail & Shchepeleva, Maria, 2022. "Modeling global real economic activity: Evidence from variable selection across quantiles," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
- Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024.
"Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2023. "Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails," CEPR Discussion Papers 17800, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2024.
"Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1099-1127, August.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," Working Papers 20-02R, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
- Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," CEPR Discussion Papers 17512, C.E.P.R. Discussion Papers.
- Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Corradi, Valentina & Fosten, Jack & Gutknecht, Daniel, 2023. "Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk," Journal of Econometrics, Elsevier, vol. 236(2).
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)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:stm:wpaper:49. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Karol SISKIND (email available below). General contact details of provider: https://edirc.repec.org/data/efseulu.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.