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Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility
Chan, Joshua; Yu, Xuewen - 2020
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 …
Persistent link: https://www.econbiz.de/10014351940
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014490330
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Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua - In: Journal of econometrics 235 (2023) 2, pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
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The macroeconomic effects of inflation uncertainty
Metiu, Norbert; Prieto, Esteban - 2023
The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …
Persistent link: https://www.econbiz.de/10014436184
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A note of caution on the relation between money growth and inflation
Berger, Helge; Karlsson, Sune; Österholm, Pär - In: Scottish journal of political economy : the journal of … 70 (2023) 5, pp. 479-496
Persistent link: https://www.econbiz.de/10014437270
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Large hybrid time-varying parameter VARs
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
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Is the US Phillips curve stable? : evidence from Bayesian vector autoregressions
Karlsson, Sune; Österholm, Pär - In: The Scandinavian journal of economics 125 (2023) 1, pp. 287-314
Persistent link: https://www.econbiz.de/10014303987
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Changing impact of shocks : a time-varying proxy svar approach
Mumtaz, Haroon; Petrova, Katerina - In: Journal of money, credit and banking : JMCB 55 (2023) 2/3, pp. 635-654
Persistent link: https://www.econbiz.de/10014306066
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Time changing effects of external shocks on macroeconomic fluctuations in Peru : empirical application using regime-switching VAR models with stochastic volatility
Chávez, Paulo; Rodriguez, Gabriel - In: Review of world economics 159 (2023) 2, pp. 505-544
Persistent link: https://www.econbiz.de/10014308071
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Partial identification of heteroskedastic structural VARs : theory and Bayesian inference
Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a …
Persistent link: https://www.econbiz.de/10014528602