Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Year of publication: |
2023
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Authors: | Kiss, Tamás ; Mazur, Stepan ; Nguyen, Hoang ; Österholm, Pär |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 2, p. 347-368
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Subject: | Bayesian VAR | generalized hyperbolic skew Student's t-distribution | stochastic volatility | VAR-Modell | VAR model | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | USA | United States |
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