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~isPartOf:"Advances in Complex Systems (ACS)"
~isPartOf:"Federal Reserve Bank of Cleveland working paper series"
~isPartOf:"Journal of econometrics"
~subject:"VAR model"
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VAR model
Monte Carlo simulation
142
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137
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113
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78
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75
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Bognanni, Mark
3
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1
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Advances in Complex Systems (ACS)
Federal Reserve Bank of Cleveland working paper series
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7
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5
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5
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4
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4
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3
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3
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VAR models in macroeconomics - new developments and applications : essays in honor of Christopher A. Sims
3
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ECONIS (ZBW)
17
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1
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
2
SVARs with occasionally-binding constraints
Aruoba, S. Borağan
;
Mlikota, Marko
;
Schorfheide, Frank
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 477-499
Persistent link: https://www.econbiz.de/10013464897
Saved in:
3
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
4
Sequential Bayesian inference for vector autoregressions with stochastic volatility
Bognanni, Mark
;
Zito, John
-
2019
Persistent link: https://www.econbiz.de/10012137020
Saved in:
5
Virtual Historical
Simulation
for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
6
Tempered particle filtering
Herbst, Edward P.
;
Schorfheide, Frank
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 26-44
Persistent link: https://www.econbiz.de/10012303367
Saved in:
7
Estimating (Markov-Switching) VAR models without gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark
;
Herbst, Edward P.
-
2014
Persistent link: https://www.econbiz.de/10010497164
Saved in:
8
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
9
Bayesian nonparametric vector autoregressive models
Kalli, Maria
;
Griffin, Jim E.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 267-282
Persistent link: https://www.econbiz.de/10011974694
Saved in:
10
The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
Lawford, Steve
;
Stamatogiannis, Michalis P.
- In:
Journal of econometrics
148
(
2009
)
2
,
pp. 124-130
Persistent link: https://www.econbiz.de/10003833748
Saved in:
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