Pettenuzzo, Davide; Valkanov, Rossen; Timmermann, Allan - Department of Economics, International Business School, … - 2014
We propose a new approach to predictive density modeling that allows for MI- DAS e¤ects in both the ?rst and second moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility dy- namics. When applied to quarterly U.S. GDP growth...