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Improving the robustness of Markov-Switching dynamic factor models with time-varying volatility
Aumond, Romain; Royer, Julien - 2024
Persistent link: https://www.econbiz.de/10014486414
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Forecasting in the presence of structural breaks and model uncertainty
Rapach, David E. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003731593
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Forecasting realized volatility : a Bayesian model-averaging approach
Liu, Chun; Maheu, John M. - In: Journal of applied econometrics 24 (2009) 5, pp. 709-733
Persistent link: https://www.econbiz.de/10003931571
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Forecasting metals returns a Bayesian decision theoretic approach
Halperin, David - 2010
Persistent link: https://www.econbiz.de/10008822671
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A comprehensive look at financial volatility prediction by economic variables
Christiansen, Charlotte; Schmeling, Maik; Schrimpf, Andreas - 2010
Persistent link: https://www.econbiz.de/10008651643
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Could markets have helped predict the puzzling exchange rate path in CESEE countries during the current crisis?
Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - In: Focus on European economic integration (2010) 1, pp. 32-48
Persistent link: https://www.econbiz.de/10003944883
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Bayesian inference for a periodic stochastic volatility model of intraday electricity prices
Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010
Persistent link: https://www.econbiz.de/10003964500
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Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2010
Persistent link: https://www.econbiz.de/10009009831
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
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/10011389735
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Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980
Persistent link: https://www.econbiz.de/10010517774