Bayesian VARs and prior calibration in times of COVID-19
Year of publication: |
2024
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Authors: | Hartwig, Benny |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 1, p. 1-24
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Subject: | common time-varying volatility | forecasting | multivariate t errors | outlier-robust prior calibration | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Coronavirus | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Multivariate Analyse | Multivariate analysis |
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