Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Year of publication: |
2018
|
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Authors: | Götz, Thomas B. ; Hauzenberger, Klemens |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | Mixed Frequencies | Time-Varying Intercepts | Common Stochastic Volatility | Bayesian VAR | Forecasting |
Series: | Bundesbank Discussion Paper ; 40/2018 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-3-95729-509-5 |
Other identifiers: | 1031765174 [GVK] hdl:10419/182479 [Handle] RePEc:zbw:bubdps:402018 [RePEc] |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications |
Source: |
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
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