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Large vector autoregressions with stochastic volatility and flexible priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016

Persistent link: https://www.econbiz.de/10011549652

Capturing macroeconomic tail risks with Bayesian vector autoregressions

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2020

Persistent link: https://www.econbiz.de/10012153666

Structural analysis with Multivariate Autoregressive Index models

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348

Persistent link: https://www.econbiz.de/10011704654

Endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2018

Persistent link: https://www.econbiz.de/10011878268

Real-time nowcasting with a bayesian mixed frequency model with stochastic volatility

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2012

Persistent link: https://www.econbiz.de/10009661312

Parallel sequential Monto Carlo for efficient density combination : the deco matlab toolbox

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2013

Persistent link: https://www.econbiz.de/10009756320

Beta-product dependent Pitman–Yor processes for Bayesian inference

Bassetti, Federico; Casarin, Roberto; Leisen, Fabrizio - In: Journal of econometrics 180 (2014) 1, pp. 49-72

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A flexible predictive density combination for large financial data sets in regular and crisis periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-12

Persistent link: https://www.econbiz.de/10014471818

Predictive density combination using a tree-based synthesis function

Chernis, Tony; Hauzenberger, Niko; Huber, Florian; … - 2023

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A Bayesian dynamic compositional model for large density combinations in finance

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2021

A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...

Persistent link: https://www.econbiz.de/10012431874