Modeling tail risks of inflation using unobserved component quantile regressions

DOI10.1016/J.JEDC.2022.104493MaRDI QIDQ2097992zbMATH OpenOpenAlexFDO

Authors Michael Pfarrhofer

Publication date 17 November 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

predictive inferencestate space modelsstochastic volatilitytime-varying parameters

Mathematics Subject Classification ID

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

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Cites work

• A Bayesian nonparametric approach to inference for quantile regression
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Bayesian quantile regression
• Boosting high dimensional predictive regressions with time varying parameters
• Comparing density forecasts using threshold- and quantile-weighted scoring rules
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Dynamic quantile linear models: a Bayesian approach
• Dynamic shrinkage processes
• Estimating structural changes in regression quantiles
• Gaussian processes for machine learning.
• Gibbs sampling methods for Bayesian quantile regression
• On Gibbs sampling for state space models
• Quantile and probability curves without crossing
• Quantile regression in partially linear varying coefficient models
• Quantile regression with varying coefficients
• Quantile self-exciting threshold autoregressive time series models
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
• Regression Quantiles
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• Sparse signal shrinkage and outlier detection in high-dimensional quantile regression with variational Bayes
• Strictly Proper Scoring Rules, Prediction, and Estimation
• The changing dynamics of US inflation persistence: a quantile regression approach
• The horseshoe prior for time-varying parameter VARs and monetary policy
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(3)

• Estimation and decomposition of food price inflation risk
• Reassessing the inflation uncertainty‐inflation relationship in the tails
• Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model

Describes a project that uses

Uses Software

• bvarsv

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