Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
Author:
Affiliation:
1. Queen Mary University of London
2. Federal Reserve Bank of Cleveland
3. Bocconi University
4. Deutsche Bundesbank
Publisher
Federal Reserve Bank of Cleveland
Reference49 articles.
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3. 3. Arias, Jonas E., Juan F. Rubio Ramirez, and Minchul Shin. 2021. "Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models." Working paper 21-21. Working Paper (Federal Reserve Bank of Philadelphia). Federal Reserve Bank of Philadelphia. https://doi.org/10.21799/frbp.wp.2021.21.
4. 4. Artis, Michael J., Anindya Banerjee, and Massimiliano Marcellino. 2005. "Factor Forecasts for the UK." Journal of Forecasting 24 (4): 279-98. https://doi.org/10.1002/for.957.
5. 5. Aruoba, S. Borağan, Francis X. Diebold, and Chiara Scotti. 2009. "Real-Time Measurement of Business Conditions." Journal of Business & Economic Statistics 27 (4): 417-27. https://doi.org/10.1198/jbes.2009.07205.
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