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Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019
Persistent link: https://www.econbiz.de/10012223665
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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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Computationally efficient inference in large Bayesian mixed frequency VARs
Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: Economics letters 191 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012508486