Modeling and Forecasting Macroeconomic Downside Risk

DOI10.1080/07350015.2023.2277171MaRDI QIDQ6626267zbMATH OpenFDO

Authors Davide Delle Monache, Ivan Petrella

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2023.2277171

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Adaptive proposal distribution for random walk Metropolis algorithm
• Alternative tests for correct specification of conditional predictive densities
• Autoregressive Conditional Density Estimation
• Bayesian computation and stochastic systems. With comments and reply.
• Comparing density forecasts using threshold- and quantile-weighted scoring rules
• Decoupling shrinkage and selection in Bayesian linear models: a posterior summary perspective
• Diagonalized multiplier methods and quasi-Newton methods for constrained optimization
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
• Filtering With Heavy Tails
• Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
• scientific article; zbMATH DE number 3734998 (Why is no real title available?)
• scientific article; zbMATH DE number 472921 (Why is no real title available?)
• scientific article; zbMATH DE number 852532 (Why is no real title available?)
• Implementation of Estimating Function-Based Inference Procedures With Markov Chain Monte Carlo Samplers
• Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
• Information-theoretic optimality of observation-driven time series models for continuous responses
• Large-Sample Inference for the Epsilon-Skew-t Distribution
• Local convergence of the diagonalized method of multipliers
• Maximum likelihood estimation for score-driven models
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• On the computational complexity of MCMC-based estimators in large samples
• Statistical inference for a general class of asymmetric distributions
• Strictly Proper Scoring Rules, Prediction, and Estimation
• The epsilon-skew-normal distribution for analyzing near-normal data

Cited in

(4)

• The effects of monetary policy on macroeconomic downside risk: state-dependence matters
• Regressions under Adverse Conditions
• Pruned skewed Kalman filter and smoother with application to DSGE models
• Expectation and confusion: evidence and theory

This page was built for publication: Modeling and Forecasting Macroeconomic Downside Risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6626267)