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81
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
Saved in:
82
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
Saved in:
83
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
Saved in:
84
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
Saved in:
85
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
Saved in:
86
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
Saved in:
87
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
Saved in:
88
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
Saved in:
89
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
Saved in:
90
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
Saved in:
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