Dovern, Jonas; Feldkircher, Martin; Huber, Florian - Alfred-Weber-Institut für Wirtschaftswissenschaften, … - 2015
We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR with SSVS prior and stochastic volatility. To analyze the source of performance gains, we decompose the predictive joint density into its marginals and a copula term capturing...