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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …
Persistent link: https://www.econbiz.de/10013187449
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Shadow-rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding …
Persistent link: https://www.econbiz.de/10014320848
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Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2022
the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …
Persistent link: https://www.econbiz.de/10013289477
Cover Image
Shadow-Rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding …
Persistent link: https://www.econbiz.de/10014352599