Macroeconomic forecasting with large stochastic volatility in mean VARs
Jamie L. Cross, Chenghan Hou, Gary Koop and Aubrey Poon
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Cross, Jamie ; Hou, Chenghan ; Koop, Gary ; Poon, Aubrey |
| Publisher: |
Oslo : BI Norwegian Business School, Centre for Applied Macro - Petroleum economics (CAMP) |
| Subject: | Bayesian VARs | Macroeconomic Forecasting | Stochastic Volatility in Mean | State Space Models | Uncertainty | Volatilität | Volatility | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Wirtschaftsprognose | Economic forecast | Zustandsraummodell | State space model | Bayes-Statistik | Bayesian inference | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
freely available