Narrow search
Showing 1 - 3 of 3
Cover Image
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
Cover Image
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
Cover Image
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