Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics
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DOI: 10.26509/frbc-wp-202212r
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- James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
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More about this item
Keywords
Density Forecasts; Quantile Regressions; Financial Conditions;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-06-20 (Econometrics)
- NEP-FDG-2022-06-20 (Financial Development and Growth)
- NEP-FOR-2022-06-20 (Forecasting)
- NEP-MAC-2022-06-20 (Macroeconomics)
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