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Does joint modelling of the world economy pay off?: evaluating global forecasts from a Bayesian GVAR

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We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR with SSVS prior and stochastic volatility. To analyze the source of performance gains, we decompose the predictive joint density into its marginals and a copula term capturing the de...

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Main Authors: Dovern, Jonas (Author) , Feldkircher, Martin (Author) , Huber, Florian (Author)
Format: Article (Journal)
Language:English
Published: 5 July 2016
In: Journal of economic dynamics & control
Year: 2016, Volume: 70, Pages: 86-100
ISSN:0165-1889
DOI:10.1016/j.jedc.2016.06.006
Online Access:Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1016/j.jedc.2016.06.006
Verlag, lizenzpflichtig, Volltext: http://www.sciencedirect.com/science/article/pii/S0165188916301051
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Author Notes:Jonas Dovern, Martin Feldkircher, Florian Huber
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Does joint modelling of the world economy pay off?: Evaluating global forecasts from a bayesian GVAR by Dovern, Jonas (Author) , Feldkircher, Martin (Author) , Huber, Florian (Author) ,


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