This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal … applications of the Bayesian estimation of GARCH models. We show how agents facing different risk perspectives can select their …

policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated, based on a …

examine how model specifications and prior choices affect the forecasting performance for GDP growth, inflation, and a short … forecasting inflation. It also has the best density forecast performance for output growth and the interest rate. Adding foreign …

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is … at 1-step ahead. -- Exchange rates ; Forecasting ; Bayesian VAR …

In this article, we present a new perspective on forecasting technology adoption, focused on the extensive margin of …