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Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

Persistent link: https://www.econbiz.de/10003774002

Institutions, infrastructure and trade

Francois, Joseph F.; Manchin, Miriam - 2007

Persistent link: https://www.econbiz.de/10003431385

How bad is antidumping? : evidence from panel data

Egger, Peter (contributor); Nelson, Douglas R. (contributor) - 2007

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Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea (contributor); … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate …

Persistent link: https://www.econbiz.de/10003765975

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735