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Conditional value-at-risk forecasts of an optimal foreign currency portfolio

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

Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507

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Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

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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Global risk and the dollar

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Multivariate stochastic volatility with dynamic cross leverage

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

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Scalable inference for a full multivariate stochastic volatility model

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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...

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Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure

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predictors, where robust stands for the use of mixtures of proper conjugate priors. Concerning dynamic analysis, volatility …

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