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Identification of structural vector autoregressions by stochastic volatility
Bertsche, Dominik; Braun, Robin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 328-341
Persistent link: https://www.econbiz.de/10012804115
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Dynamic semiparametric factor model with structural breaks
Chen, Likai; Wang, Weining; Wu, Wei Biao - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 757-771
Persistent link: https://www.econbiz.de/10012587979
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High-dimensional macroeconomic forecasting using message passing algorithms
Korobilis, Dimitris - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 493-504
Persistent link: https://www.econbiz.de/10012499094
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Common drifting volatility in large Bayesian VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 375-390
Persistent link: https://www.econbiz.de/10011691646
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A new class of bivariate threshold cointegration models
Cai, Biqing; Gao, Jiti; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
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A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
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Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
Álvarez, Rocío; Camacho, Maximo; Ruiz Marín, Manuel - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 484-495
Persistent link: https://www.econbiz.de/10012178190
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Choosing prior hyperparameters : with applications to time-varying parameter models
Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 124-136
Persistent link: https://www.econbiz.de/10012179528
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GMM estimation of non-Gaussian structural vector autoregression
Lanne, Markku; Luoto, Jani - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 69-81
Persistent link: https://www.econbiz.de/10012424500
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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