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  • Search: subject:"multivariate t errors"
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Year of publication
Subject
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common time-varying volatility 3 forecasting 3 multivariate t errors 3 outlier-robust prior calibration 3 Bayes-Statistik 2 Bayesian inference 2 Coronavirus 2 Forecasting model 2 Prognoseverfahren 2 Time series analysis 2 VAR model 2 VAR-Modell 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2 ARCH model 1 ARCH-Modell 1 Risikomaß 1 Risk measure 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 3
Author
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Hartwig, Benny 3
Published in...
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Deutsche Bundesbank Discussion Paper 1 Discussion paper 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
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Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014505189
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Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny - 2022
This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...
Persistent link: https://www.econbiz.de/10013482884
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Cover Image
Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny - 2022
This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...
Persistent link: https://www.econbiz.de/10013472790
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