Vector autoregression models with skewness and heavy tails

Author:

Karlsson Sune,Mazur StepanORCID,Nguyen HoangORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference43 articles.

1. The generalized hyperbolic skew Student’s t-distribution;Aas;J. Financ. Econom.,2006

2. Microeconomic origins of macroeconomic tail risks;Acemoglu;Am. Econ. Rev.,2017

3. Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions;Carriero,2020

4. Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty;Carriero;J. Econom.,2021

5. Addressing COVID-19 Outliers in BVARs with Stochastic Volatility;Carriero,2021

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1. Diagnostic analystics in the Bayesian vector autoregressive model;Journal of Statistical Computation and Simulation;2024-09-12

2. Multivariate unified skew-t distributions and their properties;Journal of Multivariate Analysis;2024-09

3. Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks;Journal of Applied Econometrics;2024-08-07

4. The skewness of mean–variance normal mixtures;Journal of Multivariate Analysis;2024-01

5. What drives inflation and how? Evidence from additive mixed models selected by cAIC;Frontiers in Applied Mathematics and Statistics;2023-11-22

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