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Bayesian compressed vector autoregressions

Pettenuzzo, Davide; Koop, Gary; Korobilis, Dimitris - 2016

Persistent link: https://www.econbiz.de/10011448989

A Bayesian MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Roseen - 2014

Persistent link: https://www.econbiz.de/10010505305

Bond return predictability : economic value and links to the macroeconomy

Pettenuzzo, Davide; Gargano, Antonio; Timmermann, Allan - 2014

Persistent link: https://www.econbiz.de/10010505306

Machine learning econometrics : Bayesian algorithms and methods

Korobilis, Dimitris; Pettenuzzo, Davide - 2020

Persistent link: https://www.econbiz.de/10012243263

Forecasting stock returns : a predictorconstrained approach

Pettenuzzo, Davide; Pan, Zhiyuan; Wang, Yudong - 2017

Persistent link: https://www.econbiz.de/10011813299

Forecasting stock returns under economic constraints

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - 2013

Persistent link: https://www.econbiz.de/10010231826

Triple the gamma : a unifying shrinkage prior for variance and variable selection in sparse state space and TVP models

Cadonna, Annalisa; Frühwirth-Schnatter, Sylvia; Knaus, … - In: Econometrics : open access journal 8 (2020) 2/20, pp. 1-36

Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of explanatory variables on the outcome variable. However, in particular when the number of explanatory variables is large, there is a known risk of overfitting and poor predictive performance, since...

Persistent link: https://www.econbiz.de/10012265494