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To assess the performance of multivariate density forecasts for the world economy based on a Bayesian global vector autoregressive (GVAR) model, we decompose the predictive joint density into its marginals and a copula term that captures the dependence structure among variables and countries....
Persistent link: https://www.econbiz.de/10011301595
priors entertained for all variables at all forecasting horizons. …
Persistent link: https://www.econbiz.de/10011399901