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Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era
Lewis, Kurt F.; Whiteman, Charles H. - In: Journal of forecasting 34 (2015) 1, pp. 15-35
Persistent link: https://www.econbiz.de/10011305372
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Bayesian mixed frequency VARs
Eraker, Bjørn; Chiu, Ching Wai Jeremy; Foerster, Andrew; … - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 698-721
Persistent link: https://www.econbiz.de/10011339252
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Forecasting with VAR models : fat tails and stochastic volatility
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2015
Persistent link: https://www.econbiz.de/10011312174
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Bayesian analysis of latent threshold dynamic models
Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164
Persistent link: https://www.econbiz.de/10009754013
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Forecasting with medium and large Bayesian VARs
Koop, Gary - In: Journal of applied econometrics 28 (2013) 2, pp. 177-203
Persistent link: https://www.econbiz.de/10009733340
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Are Bayesian fan charts useful for central banks? : Uncertainty, forcasting, and financial stability stress tests
Franta, Michal; Baruník, Jozef; Horváth, Roman; … - 2011
Persistent link: https://www.econbiz.de/10009407452
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Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage
Gefang, Deborah - In: International journal of forecasting 30 (2013) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10010243650
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Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections
Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014
Persistent link: https://www.econbiz.de/10010376924
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Data-based priors for vector autoregressions with drifting coefficients
Korobilis, Dimitris - 2014
Persistent link: https://www.econbiz.de/10010346569
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Evaluating real-time VAR forecasts with an informative democratic prior
Wright, Jonathan H. - In: Journal of applied econometrics 28 (2013) 5, pp. 762-776
Persistent link: https://www.econbiz.de/10010351101