Showing 1 - 2 of 2
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/10011460766
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …
Persistent link: https://www.econbiz.de/10010286274