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Forecasting Government Bond Yields with Large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …

Persistent link: https://www.econbiz.de/10008468530

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2009

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the …

Persistent link: https://www.econbiz.de/10008528528

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011083279

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013

for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …

Persistent link: https://www.econbiz.de/10011083444

Bayesian VARs: Specification Choices and Forecast Accuracy

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification … lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo …

Persistent link: https://www.econbiz.de/10008854551