Modeling tail risks of inflation using unobserved component quantile regressions

DOI10.1016/J.JEDC.2022.104493OpenAlexW3205165393MaRDI QIDQ2097992FDOQ2097992

Michael Pfarrhofer

Publication date: 17 November 2022

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.03632

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zbMATH Keywords

state space modelsstochastic volatilitypredictive inferencetime-varying parameters

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Time Varying Structural Vector Autoregressions and Monetary Policy
• Regression Quantiles
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Dynamic quantile linear models: a Bayesian approach
• Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
• Title not available (Why is that?)
• Quantile and Probability Curves Without Crossing
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• Gibbs sampling methods for Bayesian quantile regression
• A Bayesian Nonparametric Approach to Inference for Quantile Regression
• Bayesian quantile regression
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Quantile regression with varying coefficients
• Quantile regression in partially linear varying coefficient models
• Estimating structural changes in regression quantiles
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Quantile self-exciting threshold autoregressive time series models
• Boosting high dimensional predictive regressions with time varying parameters
• Dynamic Shrinkage Processes
• The horseshoe prior for time-varying parameter VARs and monetary policy
• Sparse signal shrinkage and outlier detection in high-dimensional quantile regression with variational Bayes
• The changing dynamics of US inflation persistence: a quantile regression approach

Cited In (2)

• Estimation and decomposition of food price inflation risk
• Reassessing the inflation uncertainty‐inflation relationship in the tails

Uses Software

• bvarsv

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