000	00000nam 2200000zi 4500
001	9.950571
003	CaOODSP
005	20250430151936
006	m     o  d f
007	cr mn|||||||||
008	250429t20252025oncd    ob   f|0| 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
041	|aeng|beng|bfre
043	|an-cn---
086	1 |aFB3-5/2025-4E-PDF
100	1 |aSurprenant, Stéphane |c(Économiste)|eauthor.
245	10|aQuantile VARs and macroeconomic risk forecasting / |cby Stéphane Surprenant.
264	1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2025.
264	4|c©2025
300	|a1 online resource (ii, 41 pages) : |bgraphs.
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aStaff working paper = Document de travail du personnel, |y1701-9397 ; |v2025-4
500	|aISSN assigned to different series.
500	|a"Last updated: January 17, 2025."
504	|aIncludes bibliographical references (pages 30-33).
520	3 |a"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.
546	|aIncludes abstract in French.
650	0|aBusiness cycles|zCanada|xEconometric models.
650	0|aEconometric models|zCanada.
650	6|aCycles économiques|zCanada|xModèles économétriques.
650	6|aModèles économétriques|zCanada.
710	2 |aBank of Canada, |eissuing body.
830	#0|aStaff working paper (Bank of Canada)|v2025-4.|w(CaOODSP)9.806221
856	40|qPDF|s3.70 MB|uhttps://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-4-eng.pdf