Combining shrinkage and sparsity in conjugate vector autoregressive models
Year of publication: |
2021
|
---|---|
Authors: | Hauzenberger, Niko ; Huber, Florian ; Onorante, Luca |
Published in: |
Journal of Applied Econometrics. - Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 36.2021, 3 (13.01.), p. 304-327
|
Publisher: |
Wiley |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Fast and flexible Bayesian inference in time-varying parameter regression models
Hauzenberger, Niko, (2022)
-
General Bayesian time-varying parameter vector autoregressions for modeling government bond yields
Fischer, Manfred M., (2023)
-
Model instability in predictive exchange rate regressions
Hauzenberger, Niko, (2018)
- More ...