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person:"Peersman, Gert"
~person:"Huber, Florian"
~person:"Kilian, Lutz"
~person:"Nielsen, Morten Ørregaard"
~subject:"Theory"
~type_genre:"Article in journal"
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Search: subject_exact:"Vector autoregression"
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Peersman, Gert
Huber, Florian
Kilian, Lutz
Nielsen, Morten Ørregaard
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25
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14
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1
General Bayesian time-varying parameter vector autoregressions for modeling government bond yields
Fischer, Manfred M.
;
Hauzenberger, Niko
;
Huber, Florian
; …
- In:
Journal of applied econometrics
38
(
2023
)
1
,
pp. 69-87
Persistent link: https://www.econbiz.de/10014287924
Saved in:
2
Subspace shrinkage in conjugate Bayesian vector autoregressions
Huber, Florian
;
Koop, Gary
- In:
Journal of applied econometrics
38
(
2023
)
4
,
pp. 556-576
Persistent link: https://www.econbiz.de/10014288019
Saved in:
3
Approximate Bayesian inference and forecasting in huge-dimensional multicountry VARs
Feldkircher, Martin
;
Huber, Florian
;
Koop, Gary
; …
- In:
International economic review
63
(
2022
)
4
,
pp. 1625-1658
Persistent link: https://www.econbiz.de/10013464691
Saved in:
4
Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
;
Pfarrhofer, …
- In:
Journal of econometrics
232
(
2023
)
1
,
pp. 52-69
Persistent link: https://www.econbiz.de/10013472832
Saved in:
5
Adaptive shrinkage in Bayesian vector autoregressive models
Huber, Florian
;
Feldkircher, Martin
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10012175868
Saved in:
6
Density forecasting using Bayesian global vector autoregressions with stochastic volatility
Huber, Florian
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 818-837
Persistent link: https://www.econbiz.de/10011621824
Saved in:
7
The international transmission of US shocks : evidence from Bayesian global vector autoregressions
Feldkircher, Martin
;
Huber, Florian
- In:
European economic review : EER
81
(
2016
),
pp. 167-188
Persistent link: https://www.econbiz.de/10011742047
Saved in:
8
Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter
;
Jansson, Michael
;
Nielsen, …
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011326813
Saved in:
9
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
- In:
The journal of futures markets
35
(
2015
)
4
,
pp. 339-356
Persistent link: https://www.econbiz.de/10011348418
Saved in:
10
Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren
;
Nielsen, Morten Ørregaard
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
6
,
pp. 2667-2732
Persistent link: https://www.econbiz.de/10009689454
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