Browsing BI Open by Subject "Macroeconomic Forecasting"
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Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs
(CAMP Working Paper Series;04/2021, Working paper, 2021-06-15)Vector autoregressions with stochastic volatility in both the conditional mean and variance are commonly used to estimate the macroeconomic effects of uncertainty shocks. Despite their popularity, intensive computational ...