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Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012223665

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012115020

Consistent inference for predictive regressions in persistent VAR economies

Andersen, Torben; Varneskov, Rasmus Tangsgaard - 2018

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Computationally efficient inference in large Bayesian mixed frequency VARs

Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: Economics letters 191 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508486

Structural inference in sparse high-dimensional vector autoregressions

Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300

Persistent link: https://www.econbiz.de/10014364826

Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: International journal of forecasting 39 (2023) 1, pp. 346-363

Persistent link: https://www.econbiz.de/10014462786

Variational inference for large Bayesian vector autoregressions

Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1066-1082

Persistent link: https://www.econbiz.de/10015053533

Inference in vector autoregressive models with an informative prior on the steady state

Villani, Mattias - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10011585058

Value at risk forecasting for volatility index

Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620

Persistent link: https://www.econbiz.de/10011853568

High-dimensional macroeconomic forecasting using message passing algorithms

Korobilis, Dimitris - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 493-504

Persistent link: https://www.econbiz.de/10012499094

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