Real-time forecast evaluation of DSGE models with stochastic volatility
type: Item
instance of: scholarly article
title: Real-time forecast evaluation of DSGE models with stochastic volatility
zbMATH Open document ID: 1377.62210
author: Francis X. Diebold
author: Frank Schorfheide
author: M. Shin
published in: Journal of Econometrics
publication date: 2017-11-07T00:00:00Z
full work available at URL: w22615.pdf
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B51
zbMATH DE Number: 6803385
zbMATH Keywords: dynamic stochastic general equilibrium model
zbMATH Keywords: prediction
zbMATH Keywords: stochastic volatility
describes a project that uses: bvarsv
describes a project that uses: Gensys
MaRDI profile type: Publication
OpenAlex ID: W3123137325
cites work: Combining VAR and DSGE forecast densities
cites work: The Impact of Uncertainty Shocks
cites work: Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
cites work: Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
cites work: Estimating Macroeconomic Models: A Likelihood Approach
cites work: Evaluating DSGE model forecasts of comovements
cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
cites work: Solving linear rational expectations models
DOI: 10.1016/J.JECONOM.2017.08.011
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description: scientific article; zbMATH DE number 6803385