Addressing COVID-19 Outliers in BVARs with stochastic volatility
Andrea Carriero, Todd E. Clark, Massimiliano Marcellino, and Elmar Mertens
| Year of publication: |
2021
|
|---|---|
| Authors: | Carriero, Andrea ; Clark, Todd E. ; Marcellino, Massimiliano ; Mertens, Elmar |
| Publisher: |
[Cleveland, OH] : Federal Reserve Bank of Cleveland |
| Subject: | Bayesian VARs | stochastic volatility | outliers | pandemics | forecasts | Coronavirus | Volatilität | Volatility | VAR-Modell | VAR model | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Epidemie | Epidemic | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
freely available