Arbeitspapier
Vector autoregression models with skewness and heavy tails
With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy tailed. In this paper, we contribute to the literature by extending a vector autore- gression (VAR) model to account for a more realistic assumption of the multivariate distribution of the macroeconomic variables. We propose a general class of generalized hyperbolic skew Student's t distribution with stochastic volatility for the error term in the VAR model that allows us to take into account skewness and heavy tails. Tools for Bayesian inference and model selection using a Gibbs sampler are provided. In an empirical study, we present evidence of skewness and heavy tails for monthly macroe- conomic variables. The analysis also gives a clear message that skewness should be taken into account for better predictions during recessions and crises.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 8/2021
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Thema
-
Vector autoregression
Skewness and heavy tails
Generalized hyper- bolic skew Students t distribution
Stochastic volatility
Markov Chain Monte Carlo
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Karlsson, Sune
Mazur, Stepan
Nguyen, Hoang
- Ereignis
-
Veröffentlichung
- (wer)
-
Örebro University School of Business
- (wo)
-
Örebro
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Karlsson, Sune
- Mazur, Stepan
- Nguyen, Hoang
- Örebro University School of Business
Entstanden
- 2021
Ähnliche Objekte (12)
Adaptive models and heavy tails
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Heavy tails in a robust newsvendor model
Portfolio Selection with Heavy Tails
Multiscale stochastic volatility model with heavy tails and leverage effects
On Option Pricing Models in the Presence of Heavy Tails
On Option Pricing Models in the Presence of Heavy Tails
Distinguishing log-concavity from heavy tails
Ordered random walks with heavy tails
Which parametric model for conditional skewness?
Estimation of DSGE models: Skewness matters
Hidden skewness
Adaptive models and heavy tails
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Heavy tails in a robust newsvendor model
Portfolio Selection with Heavy Tails
Multiscale stochastic volatility model with heavy tails and leverage effects
On Option Pricing Models in the Presence of Heavy Tails
On Option Pricing Models in the Presence of Heavy Tails
Distinguishing log-concavity from heavy tails
Ordered random walks with heavy tails
Which parametric model for conditional skewness?
Estimation of DSGE models: Skewness matters
Hidden skewness
Adaptive models and heavy tails
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Heavy tails in a robust newsvendor model
Portfolio Selection with Heavy Tails
Multiscale stochastic volatility model with heavy tails and leverage effects
On Option Pricing Models in the Presence of Heavy Tails
On Option Pricing Models in the Presence of Heavy Tails
Distinguishing log-concavity from heavy tails
Ordered random walks with heavy tails
Which parametric model for conditional skewness?
Estimation of DSGE models: Skewness matters