A Bayesian time-varying autoregressive model for improved short-term and long-term prediction
Christoph Berninger, Almond Stöcker, David Rügamer
| Year of publication: |
2022
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|---|---|
| Authors: | Berninger, Christoph ; Stöcker, Almond ; Rügamer, David |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 1, p. 181-200
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| Subject: | Bayesian time-varying autoregressive models | Gibbs sampler | interest rate models | long run regularization | MCMC metropolis-Hastings | Bayes-Statistik | Bayesian inference | Theorie | Theory | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation | Markov-Kette | Markov chain | Zinsstruktur | Yield curve | Monte-Carlo-Simulation | Monte Carlo simulation | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2802 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012796284