SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
16 references·2 citing·46 second hop
Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility (2012)Real-Time Nowcasting with a Bayesian Mixe…Introducing the euro‐sting: Short‐term indicator of euro area growth (2010)Introducing the euro‐sting: S…Comparing and evaluating Bayesian predictive distributions of asset returns (2010)Comparing and evaluating Baye…Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007)Comparing Density Forecasts v…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)A comparison of direct and it…The Role of Models and Probabilities in the Monetary Policy Process (2002)The Role of Models and Probab…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…A new coincident index of business cycles based on monthly and quarterly series (2002)A new coincident index of bus…A real-time data set for macroeconomists (2001)A real-time data set for macr…Federal Reserve Information and the Behavior of Interest Rates (2000)Federal Reserve Information a…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…The Role of Survey Data in Nowcasting Euro Area GDP Growth (2015)The Role of Survey Data in No…Point and density forecasts for the euro area using Bayesian VARs (2015)Point and density forecasts f…Macroeconomics and Reality (1980)Rules, discretion and reputation in a model of monetary policy (1983)The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models (2005)Macroeconomic Shocks and Their Propagation (2016)Deconstructing Monetary Policy Surprises: The Role of Information Shocks (2018)American Economic Review (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Comparing Predictive Accuracy (1995)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and conditional projection using realistic prior distributions (1984)Bayesian Methods for Dynamic Multivariate Models (1998)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Large Bayesian vector auto regressions (2009)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Forecasting Inflation (2013)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Were There Regime Switches in U.S. Monetary Policy? (2006)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)
this work references cited by second hop

References

  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • 2000Federal Reserve Information and the Behavior of Interest Rates1,049 cited
  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • 2001A real-time data set for macroeconomists787 cited
  • 2002A new coincident index of business cycles based on monthly and quarterly series631 cited
  • 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests519 cited
  • 2010Comparing and evaluating Bayesian predictive distributions of asset returns376 cited
  • 2010Introducing the euro‐sting: Short‐term indicator of euro area growth

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

353 cited
  • 2002The Role of Models and Probabilities in the Monetary Policy Process299 cited
  • Cited by

    • 2015Point and density forecasts for the euro area using Bayesian VARs29 cited
    • 2015The Role of Survey Data in Nowcasting Euro Area GDP Growth28 cited