Addressing COVID-19 outliers in BVARs with stochastic volatility
The COVID-19 pandemic has led to enormous data movements that strongly affect
parameters and forecasts from standard Bayesian vector autoregressions (BVARs). To …
parameters and forecasts from standard Bayesian vector autoregressions (BVARs). To …
Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis
We consider simple methods to improve the growth nowcasts and forecasts obtained by
mixed-frequency MIDAS and UMIDAS models with a variety of indicators during the Covid …
mixed-frequency MIDAS and UMIDAS models with a variety of indicators during the Covid …
Real-time forecasting with a (standard) mixed-frequency VAR during a pandemic
F Schorfheide, D Song - 2021 - nber.org
We resuscitated the mixed-frequency vector autoregression (MF-VAR) developed in
Schorfheide and Song (2015, JBES) to generate macroeconomic forecasts for the US during …
Schorfheide and Song (2015, JBES) to generate macroeconomic forecasts for the US during …
Modeling macroeconomic variations after COVID-19
S Ng - 2021 - nber.org
The coronavirus is a global event of historical proportions and just a few months changed
the time series properties of the data in ways that make many pre-covid forecasting models …
the time series properties of the data in ways that make many pre-covid forecasting models …
The COVID-19 shock and challenges for inflation modelling
E Bobeica, B Hartwig - International journal of forecasting, 2023 - Elsevier
We document the impact of COVID-19 on inflation modelling within a vector autoregression
(VAR) model and provide guidance for forecasting euro area inflation during the pandemic …
(VAR) model and provide guidance for forecasting euro area inflation during the pandemic …
[PDF][PDF] Do financial and non-financial stocks hedge against lockdown in Covid-19? An event study analysis
The novel Covid-19 virus has changed the dynamics of 'flight to safety'investment for various
economies. Thus, the hedging ability of the stocks must be revisited in the scenario of this …
economies. Thus, the hedging ability of the stocks must be revisited in the scenario of this …
Plasmonic photocatalytic nanocomposite of in-situ synthesized MnO2 nanoparticles on cellulosic fabric with structural color
The textile industry produces 20% of the industrial water pollution containing toxic
substances mostly dyes. Reducing material consumption and develo** more efficient and …
substances mostly dyes. Reducing material consumption and develo** more efficient and …
[HTML][HTML] Nowcasting unemployment insurance claims in the time of COVID-19
Near-term forecasts, also called nowcasts, are most challenging but also most important
when the economy experiences an abrupt change. In this paper, we explore the …
when the economy experiences an abrupt change. In this paper, we explore the …
The COVID-19 shock and challenges for time series models
E Bobeica, B Hartwig - 2021 - papers.ssrn.com
We document the impact of COVID-19 on frequently employed time series models, with a
focus on euro area inflation. We show that for both single equation models (Phillips curves) …
focus on euro area inflation. We show that for both single equation models (Phillips curves) …
[HTML][HTML] Nowcasting the output gap
We propose a way to directly nowcast the output gap using the Beveridge–Nelson
decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach …
decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach …