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Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368
Persistent link: https://www.econbiz.de/10014292181
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On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: Journal of Multivariate Analysis 122 (2013) C, pp. 70-81
In this paper we consider the distribution of the product of a Wishart random matrix and a Gaussian random vector. We derive a stochastic representation for the elements of the product. Using this result, the exact joint density for an arbitrary linear combination of the elements of the product...
Persistent link: https://www.econbiz.de/10010702799