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Vector autoregression models with skewness and heavy tails
16 references·1 citing·39 second hop
Vector autoregression models with skewness and heavy tails (2022)Vector autoregression models with skewnes…Microeconomic Origins of Macroeconomic Tail Risks (2016)Microeconomic Origins of Macr…Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum (2015)Time Varying Structural Vecto…FRED-MD: A Monthly Database for Macroeconomic Research (2015)FRED-MD: A Monthly Database f…Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility (2014)Macroeconomic Forecasting Per…Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility (2010)Real-Time Density Forecasts F…Comparing and evaluating Bayesian predictive distributions of asset returns (2010)Comparing and evaluating Baye…Bayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010)Bayesian Multivariate Time Se…Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries (2008)Are output growth‐rate distri…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…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…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyMacroeconomics and Reality (1980)Macroeconomics and RealityStatistically identified structural VAR model with potentially skewed and fat‐tailed errors (2024)Statistically identified stru…Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Elicitation of Personal Probabilities and Expectations (1971)Probabilistic Forecasts, Calibration and Sharpness (2007)Making and Evaluating Point Forecasts (2011)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Measuring Uncertainty (2015)Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments (2018)Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2021)Deep Learning in Asset Pricing (2023)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)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? (2012)Large time-varying parameter VARs (2013)Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication (2015)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
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  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
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  • 2010Comparing and evaluating Bayesian predictive distributions of asset returns376 cited
  • 2015Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum347 cited
  • 2014Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility318 cited
  • 2016Microeconomic Origins of Macroeconomic Tail Risks

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318 cited
  • 2008Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries220 cited
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    • 2024Statistically identified structural VAR model with potentially skewed and fat‐tailed errors12 cited