Sophisticated and small versus simple and sizeable : when does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?
Martin Feldkircher, Luis Gruber, Florian Huber, Gregor Kastner
| Year of publication: |
2024
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|---|---|
| Authors: | Feldkircher, Martin ; Gruber, Luis ; Huber, Florian ; Kastner, Gregor |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 6, p. 2126-2145
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| Subject: | density predictions | dynamic model selection | global–local shrinkage priors | hierarchical modeling | stochastic volatility | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3121 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110374