–VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in …

Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and … Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian …

determining the optimal composition of a portfolio. Although it is widely acknowledged that these measures are not necessarily …

show that Sequential Monte Carlo (SMC) estimators accurately estimate Bayesian MS-VAR posteriors. Relative to multi …Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant …-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we …

This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional …

This paper develops a framework for inferring common Markov-switching components in panel data sets with large cross …