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Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP - MaRDI portal

Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP

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Publication:6556125

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DOI10.1016/j.jedc.2023.104757MaRDI QIDQ6556125

Dan Zhu, Matteo Iacopini, Aubrey Poon, Luca Rossini

Publication date: 17 June 2024

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

zbMATH Keywords

VAR Bayesian inference nowcasting mixed-frequency multivariate quantile regression

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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