Bayesian VARs and prior calibration in times of COVID-19
Benny Hartwig
| Year of publication: |
2024
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| Authors: | Hartwig, Benny |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 1, p. 1-24
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| Subject: | common time-varying volatility | forecasting | multivariate t errors | outlier-robust prior calibration | Volatilität | Volatility | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Coronavirus | Bayes-Statistik | Bayesian inference | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2021-0108 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014505189