Modeling tail risks of inflation using unobserved component quantile regressions
Michael Pfarrhofer
| Year of publication: |
2022
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|---|---|
| Authors: | Pfarrhofer, Michael |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 143.2022, p. 1-19
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| Subject: | Stochastic volatility | Predictive inference | State space models | Time-varying parameters | Zustandsraummodell | State space model | Volatilität | Volatility | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | Inflation | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Regressionsanalyse | Regression analysis |