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Infinite hidden markov switching VARs with application to macroeconomic forecast
Hou, Chenghan, (2017)
Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models
Luo, Jiawen, (2019)
Composite likelihood methods for large Bayesian VARs with stochastic volatility
Chan, Joshua C. C., (2020)