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Particle Markov chain Monte Carlo techniques of unobserved component time series models using ox

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Forecasting Peruvian macroeconomic variables with Bayesian Vector autorregressions with time-varying in the mean

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Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2019

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six … strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend …

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