Related references
Note: Only part of the references are listed.Why Has the US Economy Stagnated since the Great Recession?
Yunjong Eo et al.
REVIEW OF ECONOMICS AND STATISTICS (2022)
Maximum likelihood estimation for score-driven models
Francisco Blasques et al.
JOURNAL OF ECONOMETRICS (2022)
The Term Structure of Growth-at-Risk
Tobias Adrian et al.
AMERICAN ECONOMIC JOURNAL-MACROECONOMICS (2022)
Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
Florian Huber et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2021)
Backtesting global Growth-at-Risk
Christian Brownlees et al.
JOURNAL OF MONETARY ECONOMICS (2021)
NKV: A New Keynesian Model with Vulnerability
Tobias Adrian et al.
AEA PAPERS AND PROCEEDINGS (2020)
Leverage and Deepening Business-Cycle Skewness
Henrik Jensen et al.
AMERICAN ECONOMIC JOURNAL-MACROECONOMICS (2020)
When Is Growth at Risk?
Mikkel Plagborg-Moller et al.
BROOKINGS PAPERS ON ECONOMIC ACTIVITY (2020)
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
James W. Taylor
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2019)
Alternative tests for correct specification of conditional predictive densities
Barbara Rossi et al.
JOURNAL OF ECONOMETRICS (2019)
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
Francisco Blasques et al.
ELECTRONIC JOURNAL OF STATISTICS (2018)
What Happened: Financial Factors in the Great Recession
Mark Gertler et al.
JOURNAL OF ECONOMIC PERSPECTIVES (2018)
Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals
Geert Bekaert et al.
JOURNAL OF POLITICAL ECONOMY (2017)
Tracking the Slowdown in Long-Run GDP Growth
Juan Antolin-Diaz et al.
REVIEW OF ECONOMICS AND STATISTICS (2017)
Adaptive models and heavy tails with an application to inflation forecasting
Davide Delle Monache et al.
INTERNATIONAL JOURNAL OF FORECASTING (2017)
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Siem Jan Koopman et al.
REVIEW OF ECONOMICS AND STATISTICS (2016)
Systemic risk and the macroeconomy: An empirical evaluation
Stefano Giglio et al.
JOURNAL OF FINANCIAL ECONOMICS (2016)
Information-theoretic optimality of observation-driven time series models for continuous responses
F. Blasques et al.
BIOMETRIKA (2015)
Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective
P. Richard Hahn et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2015)
Good and bad uncertainty: Macroeconomic and financial market implications
Gill Segal et al.
JOURNAL OF FINANCIAL ECONOMICS (2015)
Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility
Todd E. Clark et al.
JOURNAL OF APPLIED ECONOMETRICS (2015)
Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences
Lucia Alessi et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2014)
Filtering With Heavy Tails
Andrew Harvey et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2014)
When Credit Bites Back
Oscar Jorda et al.
JOURNAL OF MONEY CREDIT AND BANKING (2013)
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
Drew Creal et al.
JOURNAL OF APPLIED ECONOMETRICS (2013)
Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
Tilmann Gneiting et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2011)
ON THE COMPUTATIONAL COMPLEXITY OF MCMC-BASED ESTIMATORS IN LARGE SAMPLES
Alexandre Belloni et al.
ANNALS OF STATISTICS (2009)
The spline-GARCH model for low-frequency volatility and its global macroeconomic causes
Robert F. Engle et al.
REVIEW OF FINANCIAL STUDIES (2008)
Implementation of estimating function-based inference procedures with Markov chain Monte Carlo samplers
Lu Tian et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2007)
Strictly proper scoring rules, prediction, and estimation
Tilmann Gneiting et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2007)
Large-sample inference for the Epsilon-Skew-t distribution
Hector W. Gomez et al.
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS (2007)
Evaluation and combination of conditional quantile forecasts
R Giacomini et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2005)
Statistical inference for a general class of asymmetric distributions
RB Arellano-Valle et al.
JOURNAL OF STATISTICAL PLANNING AND INFERENCE (2005)
Tests for skewness, kurtosis, and normality for time series data
JS Bai et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2005)
Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution
A Azzalini et al.
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2003)
Testing density forecasts, with applications to risk management
J Berkowitz
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2001)
Output fluctuations in the United States: What has changed since the early 1980's?
MM McConnell et al.
AMERICAN ECONOMIC REVIEW (2000)
Full Bayesian inference for GARCH and EGARCH models
ID Vrontos et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2000)
The epsilon-skew-normal distribution for analyzing near-normal data
GS Mudholkar et al.
JOURNAL OF STATISTICAL PLANNING AND INFERENCE (2000)