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• #### Have Standard VARs Remained Stable Since the Crisis? ﻿

(Working Papers;13/2014, Working paper, 2014)
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
• #### The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility ﻿

(Working Papers;9/2012, Working paper, 2012)
This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive ...