General Bayesian time-varying parameter vector autoregressions for modeling government bond yields
Manfred M. Fischer, Niko Hauzenberger, Florian Huber, Michael Pfarrhofer
| Year of publication: |
2023
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|---|---|
| Authors: | Fischer, Manfred M. ; Hauzenberger, Niko ; Huber, Florian ; Huber, Florian |
| Published in: |
Journal of applied econometrics. - Chichester [u.a.] : Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 38.2023, 1, p. 69-87
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| Subject: | Bayesian shrinkage | interest rate forecasting | latent effect modifiers | MCMC sampling | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Zinsstruktur | Yield curve | Zins | Interest rate | Theorie | Theory | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Öffentliche Anleihe | Public bond | Stichprobenerhebung | Sampling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2936 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014287924