Modeling and Forecasting Macroeconomic Downside Risk

Cites Work

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Adaptive proposal distribution for random walk Metropolis algorithm
Statistical inference for a general class of asymmetric distributions
Diagonalized multiplier methods and quasi-Newton methods for constrained optimization
Local convergence of the diagonalized method of multipliers
Bayesian computation and stochastic systems. With comments and reply.
Alternative tests for correct specification of conditional predictive densities
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
The epsilon-skew-normal distribution for analyzing near-normal data
Maximum likelihood estimation for score-driven models
On the computational complexity of MCMC-based estimators in large samples
Dynamic Models for Volatility and Heavy Tails
Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
Large-Sample Inference for the Epsilon-Skew-t Distribution
Implementation of Estimating Function-Based Inference Procedures With Markov Chain Monte Carlo Samplers
Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
Autoregressive Conditional Density Estimation
Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
Filtering With Heavy Tails
Information-theoretic optimality of observation-driven time series models for continuous responses
Strictly Proper Scoring Rules, Prediction, and Estimation
Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective
Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

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