Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models (Q6108290)
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scientific article; zbMATH DE number 7704484
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models |
scientific article; zbMATH DE number 7704484 |
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Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models (English)
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29 June 2023
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vector autoregressions
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time-varying parameters
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stochastic volatility
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variable ordering
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Cholesky decomposition
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Wishart process
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dynamic conditional correlation
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out-of-sample forecasting evaluation
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