00000nam 2200000zi 4500 9.950571 CaOODSP 20250430151936 m o d f cr mn||||||||| 250429t20252025oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-cn--- FB3-5/2025-4E-PDF Surprenant, Stéphane (Économiste) author. Quantile VARs and macroeconomic risk forecasting / by Stéphane Surprenant. [Ottawa] : Bank of Canada = Banque du Canada, 2025. ©2025 1 online resource (ii, 41 pages) : graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2025-4 ISSN assigned to different series. "Last updated: January 17, 2025." Includes bibliographical references (pages 30-33). "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. Includes abstract in French. Business cycles Canada Econometric models. Econometric models Canada. Cycles économiques Canada Modèles économétriques. Modèles économétriques Canada. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2025-4. (CaOODSP)9.806221 PDF 3.70 MB https://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-4-eng.pdf