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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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How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2018
Persistent link: https://www.econbiz.de/10012202254
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The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling
Chan, Joshua - 2015
Persistent link: https://www.econbiz.de/10011342445
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Large Bayesian vector autoregressions
Chan, Joshua - 2019
Persistent link: https://www.econbiz.de/10012223735
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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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Issues in comparing stochastic volatility models using the deviance information criterion
Chan, Joshua; Grant, Angelia L. - 2014
Persistent link: https://www.econbiz.de/10011341989
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Bayesian model comparison for time-varying parameter VARs with stochastic volatility
Chan, Joshua; Eisenstat, Eric - 2015
Persistent link: https://www.econbiz.de/10011342381
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A Bayesian model comparison for trend-cycle decompositions of output
Chan, Joshua; Grant, Angelia L. - 2015
Persistent link: https://www.econbiz.de/10011342382
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Modeling energy price dynamics: GARCH versus stochastic volatility
Chan, Joshua; Grant, Angelia L. - 2015
Persistent link: https://www.econbiz.de/10011342409