Capturing macro-economic tail risks with Bayesian vector autoregressions
Year of publication: |
2024
|
---|---|
Authors: | Carriero, Andrea ; Clark, Todd E. ; Marcellino, Massimiliano |
Published in: |
Journal of money, credit and banking : JMCB. - Oxford : Wiley-Blackwell, ISSN 1538-4616, ZDB-ID 2010422-4. - Vol. 56.2024, 5, p. 1099-1127
|
Subject: | asymmetries | downside risk | forecasting | VAR-Modell | VAR model | Risiko | Risk | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Theorie | Theory | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Risikomanagement | Risk management |
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