setting. Monte Carlo evidence and an empirical forecasting exercise show clear and important gains of the new priors compared …

This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set …

This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs … Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions … (TVP-VARs). Restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits …

, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …

) forecasting models. Traditionally, the conditional volatility of such models had been assumed constant over time or allowed for … forecasting horizon. In this respect, I employ a latent Inverse-Wishart autoregressive stochastic volatility specification on the …