Estimating growth at risk with skewed stochastic volatility models
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Cited by:
- Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022.
"Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve,"
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- Gaygysyz Guljanov & Willi Mutschler & Mark Trede, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," CQE Working Papers 10122, Center for Quantitative Economics (CQE), University of Muenster.
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2754, European Central Bank.
- Wolf, Elias & Montes-Galdón, Carlos & Paredes, Joan, 2024. "Conditional density forecasting: a tempered importance sampling approach," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302442, Verein für Socialpolitik / German Economic Association.
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More about this item
Keywords
Growth at Risk; Macro Finance; Bayesian Econometrics; Particle Filters;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-03-07 (Econometrics)
- NEP-ETS-2022-03-07 (Econometric Time Series)
- NEP-FDG-2022-03-07 (Financial Development and Growth)
- NEP-MAC-2022-03-07 (Macroeconomics)
- NEP-ORE-2022-03-07 (Operations Research)
- NEP-RMG-2022-03-07 (Risk Management)
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