Bayesian mixed-frequency quantile vector autoregression : eliciting tail risks of monthly US GDP
Matteo Iacopini, Aubrey Poon, Luca Rossini, Dan Zhu
| Year of publication: |
2023
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| Authors: | Iacopini, Matteo ; Poon, Aubrey ; Rossini, Luca ; Zhu, Dan |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 157.2023, p. 1-16
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| Subject: | Bayesian inference | Mixed-frequency | Multivariate quantile regression | Nowcasting | VAR | VAR-Modell | VAR model | Bayes-Statistik | Prognoseverfahren | Forecasting model | Bruttoinlandsprodukt | Gross domestic product | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Theorie | Theory | Risikomaß | Risk measure | Nationaleinkommen | National income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2023.104757 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014495378