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Which Factors Drive Downside Risk in the U.S. Economy?
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Modeling volatility persistence of speculative returns: A new approach
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Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics
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The effects of monetary policy on macroeconomic risk
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Mining Big Data Using Parsimonious Factor, Machine Learning, Variable Selection and Shrinkage Methods
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Forecasting Macroeconomic Risks
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Does economic uncertainty predict real activity in real time?
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Modelling volatility by variance decomposition
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Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence
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Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach
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Inference on dynamic systemic risk measures
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Monitoring joint tail risks: An application to growth and inflation
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Backtesting global Growth-at-Risk
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Does risk matter more in recessions than in expansions? Implications for monetary policy
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Uncertainty and growth disasters
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A real-time data set for macroeconomists
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A tale of two tails: 130 years of growth at risk
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FRED-MD: A Monthly Database for Macroeconomic Research
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Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
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Modeling and Forecasting Macroeconomic Downside Risk
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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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Measuring Economic Policy Uncertainty*
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Firm-Level Political Risk: Measurement and Effects*
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SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
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Measuring and Testing the Impact of News on Volatility
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Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions
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Stock Market Volatility and Macroeconomic Fundamentals
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Aggregate Skewness and the Business Cycle
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Macroeconomic Forecasting Using Diffusion Indexes
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Evaluation and Combination of Conditional Quantile Forecasts
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Backtesting Expected Shortfall: Accounting for Tail Risk
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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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