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timevarying parameter vector autoregressions (TVP-VAR) with nearly 100 macroeconomic variables, multivariate ARMA models with 25 … macroeconomic variables and multivariate stochastic volatility models with 100 stock returns. Finally, we perform impulse response …
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This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by …
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proposed methodology with an application of a 96-variable VAR with stochastic volatility to measure global bank network …We propose a new variational approximation of the joint posterior distribution of the log-volatility in the context of …-window estimates from a homoscedastic VAR …
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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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