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Quantile VARs and macroeconomic risk forecasting / by Stéphane Surprenant.: FB3-5/2025-4E-PDF

"Recent rises in macroeconomic volatility have prompted the introduction of quantile vector autoregression (QVAR) models to forecast macroeconomic risk. This paper provides an extensive evaluation of the predictive performance of QVAR models in a pseudo-out-of sample experiment spanning 112 monthly US variables over 40 years, with horizons of 1 to 12 months. We compare QVAR with three parametric benchmarks: a Gaussian VAR, a generalized autoregressive conditional heteroskedasticity VAR and a VAR with stochastic volatility"--Abstract, page ii.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.950571&sl=0

Publication information
Department/Agency
  • Bank of Canada, issuing body.
TitleQuantile VARs and macroeconomic risk forecasting / by Stéphane Surprenant.
Series title
  • Staff working paper = Document de travail du personnel, 1701-9397 ; 2025-4
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • ISSN assigned to different series.
  • "Last updated: January 17, 2025."
  • Includes bibliographical references (pages 30-33).
  • Includes abstract in French.
Publishing information
  • [Ottawa] : Bank of Canada = Banque du Canada, 2025.
  • ©2025
Author / Contributor
  • Surprenant, Stéphane (Économiste)author.
Description1 online resource (ii, 41 pages) : graphs.
Catalogue number
  • FB3-5/2025-4E-PDF
Subject terms
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