A time-varying skewness model for Growth-at-Risk

2023/03/14 by Martin Iseringhausen
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Monetary Policy and Economic Impact

paper · doi:10.1016/j.ijforecast.2023.02.006

openalex publication_date 2023/03/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/30

Citations

• Autoregressive Conditional Density Estimation
• On Gibbs sampling for state space models
• CAViaR
• Autoregressive Conditional Skewness
• Regression Quantiles