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Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

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The time-varying effects of permanent and transistory shocks to real output

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Fat-tails in VAR models

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volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

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Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

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Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model

Hartwig, Benny - 2020

Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …

Persistent link: https://www.econbiz.de/10012424283

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Bayesian inference for a periodic stochastic volatility model of intraday electricity prices

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Chapter 15. Forecasting with Bayesian Vector Autoregression

Karlsson, Sune - 2013

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the...

Persistent link: https://www.econbiz.de/10014025233

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