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Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

Strachan, Rodney W. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003484038

Predictive gains from forecast combinations using time varying model weights

Ravazzolo, Francesco (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003746745

Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income

Paap, Richard (contributor); Dijk, Herman K. van (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001722263

On Bayesian structural inference in a Simultaneous Equation Model

Dijk, Herman K. van (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001678732

Is there a national housing market bubble brewing in the United States?

Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020

We use a time-varying parameter dynamic factor model with stochastic volatility (DFM-TV-SV) estimated using Bayesian methods to disentangle the relative importance of the common component in FHFA house price movements from state-specific shocks, over the quarterly period of 1975Q2 to 2017Q4. We...

Persistent link: https://www.econbiz.de/10012229804

The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures

Asai, Manabu; Gupta, Rangan; McAleer, Michael - 2019

Persistent link: https://www.econbiz.de/10011986953