Rare shocks vs. non-linearities: what drives extreme events in the economy? Some empirical evidence

DOI10.1016/j.jedc.2016.12.005zbMath1401.91492OpenAlexW2270500969MaRDI QIDQ1655557

Michal Franta

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.cnb.cz/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2015_04.pdf

zbMATH Keywords

density forecastingnon-linearityBayesian VARfat tails

Mathematics Subject Classification ID

Economic time series analysis (91B84) Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82) Economic dynamics (91B55) Dynamic stochastic general equilibrium theory (91B51)

Uses Software

• bvarsv
• Gibbsit

Cites Work

• Unnamed Item
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Bayesian Measures of Model Complexity and Fit
• Adaptive Rejection Sampling for Gibbs Sampling
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• DSGE Models with Student-tErrors
• Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
• Time Varying Structural Vector Autoregressions and Monetary Policy

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