Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP-Reference-Cited by-同舟云学术

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Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP

Published:2023-12 Issue: Volume:157 Page:104757
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Iacopini Matteo,Poon Aubrey,Rossini Luca,Zhu Dan^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference41 articles.

1. Forecasting macroeconomic risks;Adams;Int. J. Forecast.,2021

2. Vulnerable growth;Adrian;Am. Econ. Rev.,2019

3. Advances in nowcasting economic activity: Secular trends, large shocks and new data;Antolin-Diaz,2021

4. Now-Casting and the Real-Time Data Flow;Bańbura,2013

5. Nowcasting the output gap;Berger;J. Econom.,2023

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1. Quantile-based extended joint connectedness between trade policy uncertainty and GCC Islamic stock sectoral volatility;Borsa Istanbul Review;2024-07

2. Extreme time-frequency connectedness across U.S. sector stock and commodity futures markets;International Review of Economics & Finance;2024-06

3. Global uncertainties and Australian financial markets: Quantile time-frequency connectedness;International Review of Financial Analysis;2024-03

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