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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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Forecasting CEE macroeconomic dynamics using a BVAR model
Caraiani, Petre - In: Financial and macroeconomic dynamics in Central and …, (pp. 147-165). 2012
Persistent link: https://www.econbiz.de/10009729226
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Fundamental problems with nonfundamental shocks
Lütkepohl, Helmut - In: Essays in nonlinear time series econometrics, (pp. 198-214). 2014
Persistent link: https://www.econbiz.de/10010385854
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Mixed-frequency vector autoregressive models
Foroni, Claudia; Ghysels, Eric; Marcellino, Massimiliano - In: VAR models in macroeconomics - new developments and …, (pp. 247-271). 2013
Persistent link: https://www.econbiz.de/10010252328
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Forecasting with Bayesian vector autoregression
Karlsson, Sune - 2013
Persistent link: https://www.econbiz.de/10011507031
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The volatility connectedness between oil and stocks : evidence from the G7 markets
BenMabrouk, Houda - In: Financial Market Dynamics after COVID 19 : The …, (pp. 67-99). 2022
Persistent link: https://www.econbiz.de/10013198542
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Forecasting with DSGE Models
Christoffel, Kai; Coenen, Günter; Warne, Anders - In: The Oxford handbook of economic forecasting. 2012
Persistent link: https://www.econbiz.de/10012882024
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Inter-market sentiment analysis using Markov switching Bayesian VAR analysis
Ebrahimijam, Saeed; Adaoglu, Cahit; Gokmenoglu, Korhan K. - In: Regulation of Finance and Accounting : 21st and 22nd …, (pp. 73-84). 2022
Persistent link: https://www.econbiz.de/10013448478
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Skewed SVARS : tracking the structural sources of macroeconomic tail risks
Montes-Galdón, Carlos; Ortega, Eva - In: Essays in honour of Fabio Canova, (pp. 177-210). 2022
Persistent link: https://www.econbiz.de/10013445157
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The Vector Floor and Ceiling model
Koop, Gary; Potter, Simon M. - In: Nonlinear time series analysis of business cycles, (pp. 97-131). 2006
This paper motivates and develops a nonlinear extension of the Vector Autoregressive model which we call the Vector Floor and Ceiling model. Bayesian and classical methods for estimation and testing are developed and compared in the context of an application involving U.S. macroeconomic data. In...
Persistent link: https://www.econbiz.de/10003309163