Adaptive shrinkage in Bayesian vector autoregressive models
Florian Huber, Martin Feldkircher
| Year of publication: |
2019
|
|---|---|
| Authors: | Huber, Florian ; Feldkircher, Martin |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 37.2019, 1, p. 27-39
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| Subject: | Density predictions | Hierarchical modeling | Normal-Gamma prior | Stochastic volatility | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Theorie | Theory | Bayes-Statistik | Bayesian inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2016.1256217 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012175868