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Modeling the conditional distribution of financial returns with asymmetric ta...
This paper proposes a conditional density model that allows for differing left/right tail indices and time-varying volatility based on the dynamic conditional score (DCS)... -
Estimating and accounting for the output gap with large Bayesian vector autor...
We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the... -
Two are better than one: Volatility forecasting using multiplicative componen...
We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional...
