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Bayesian estimation of switching ARMA models
Billio, Monica; Monfort, Alain; Robert, Christian P. - In: Journal of econometrics 93 (1999) 2, pp. 229-255
Persistent link: https://www.econbiz.de/10001406655
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Portfolio optimization based on stochastic dominance and empirical likelihood
Post, Thierry; Karabati, Selcuk; Arvanitis, Stelios - In: Journal of econometrics 206 (2018) 1, pp. 167-186
Persistent link: https://www.econbiz.de/10012110374
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116
Persistent link: https://www.econbiz.de/10010506080
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Composite likelihood methods for large Bayesian VARs with stochastic volatility
Chan, Joshua; Eisenstat, Eric; Hou, Chenghan; Koop, Gary - 2018
Persistent link: https://www.econbiz.de/10012202274
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Comparing hybrid time-varying parameter VARs
Chan, Joshua; Eisenstat, Eric - 2018
Persistent link: https://www.econbiz.de/10012202336
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Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo; Chan, Joshua; Cross, Jamie L. - 2018
Persistent link: https://www.econbiz.de/10012202537
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Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2019
Persistent link: https://www.econbiz.de/10012224001
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Asymmetric conjugate priors for large Bayesian VARs
Chan, Joshua - 2019
Persistent link: https://www.econbiz.de/10012224053
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Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua - 2019
Persistent link: https://www.econbiz.de/10012224435
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Measuring the output gap using stochastic model specification search
Chan, Joshua; Grant, Angelia L. - 2017
Persistent link: https://www.econbiz.de/10011748515