Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
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Publication:6108290
DOI10.1016/j.jeconom.2022.04.013OpenAlexW3200259365MaRDI QIDQ6108290
Jonas E. Arias, Juan Francisco Rubio-Ramıŕez, Minchul Shin
Publication date: 29 June 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.04.013
stochastic volatilitytime-varying parametersvector autoregressionsCholesky decompositionvariable orderingWishart processdynamic conditional correlationout-of-sample forecasting evaluation
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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