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Have standard VARs remained stable since the crisis?
Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - Norges Bank - 2014
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …
Persistent link: https://www.econbiz.de/10010905649
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - Norges Bank - 2012
volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …
Persistent link: https://www.econbiz.de/10010787777
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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …
Persistent link: https://www.econbiz.de/10012143797
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Have Standard VARs Remained Stable Since the Crisis?
Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …
Persistent link: https://www.econbiz.de/10012143851
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Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach
Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014288917
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Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco - 2015
This paper shows entropic tilting to be a flexible and powerful tool for combining medium-term forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting systematically improves the accuracy of both point and density forecasts, and...
Persistent link: https://www.econbiz.de/10011301673
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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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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
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Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
Carriero, Andrea - 2020
comparably to quantile regression for estimating and forecasting tail risks, complementing BVARs' established performance for … forecasting and structural analysis …
Persistent link: https://www.econbiz.de/10012843862