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~person:"Pfarrhofer, Michael"
~subject:"Bayes-Statistik"
~subject:"Zeitreihenanalyse"
~subject:"stochastic volatility in mean"
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Bayes-Statistik
Zeitreihenanalyse
stochastic volatility in mean
Stochastic process
6
Stochastischer Prozess
6
Volatility
6
Volatilität
6
VAR model
5
VAR-Modell
5
factor stochastic volatility
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uncertainty shocks
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Bayesian global vector autoregressive model
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Bayesian vector autoregressive models
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Stochastic volatility
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Pfarrhofer, Michael
Clark, Todd E.
20
Carriero, Andrea
19
Marcellino, Massimiliano
17
Rodriguez, Gabriel
16
Koopman, Siem Jan
15
Chan, Joshua
14
Bos, Charles S.
12
McAleer, Michael
12
Poon, Aubrey
12
Asai, Manabu
9
Cross, Jamie
9
Hou, Chenghan
9
Mumtaz, Haroon
9
Tauchen, George Eugene
9
Koop, Gary
8
Martin, Gael M.
8
Mertens, Elmar
8
Zhang, Bo
8
Österholm, Pär
8
Huber, Florian
7
Karlsson, Sune
7
Aastveit, Knut Are
6
Maneesoonthorn, Worapree
6
Ravazzolo, Francesco
6
Todorov, Viktor
6
Bao Hoang Nguyen
5
Gupta, Rangan
5
Li, Jia
5
Pajor, Anna
5
Forbes, Catherine Scipione
4
Gefang, Deborah
4
Guidolin, Massimo
4
Li, Yong
4
Nason, James Michael
4
Ooms, Marius
4
Shin, Minchul
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Benati, Luca
3
Bognanni, Mark
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Castillo B., Paul
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Journal of economic dynamics & control
1
Journal of forecasting
1
Macroeconomic dynamics
1
Working Papers in Economics
1
Working paper series
1
Working papers in economics
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ECONIS (ZBW)
5
EconStor
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1
Measuring international uncertainty using global vector autoregressions with drifting parameters
Pfarrhofer, Michael
-
2019
vector autoregressive (GVAR) specification with drifting coefficients and factor
stochastic
volatility
in the errors to model …
Persistent link: https://www.econbiz.de/10012052678
Saved in:
2
Measuring international uncertainty using global vector autoregressions with drifting parameters
Pfarrhofer, Michael
- In:
Macroeconomic dynamics
27
(
2023
)
3
,
pp. 770-793
Persistent link: https://www.econbiz.de/10014247550
Saved in:
3
Measuring international uncertainty using global vector autoregressions with drifting parameters
Pfarrhofer, Michael
-
2019
vector autoregressive (GVAR) specification with drifting coefficients and factor
stochastic
volatility
in the errors to model …
Persistent link: https://www.econbiz.de/10012271234
Saved in:
4
Forecasts with Bayesian vector autoregressions under real time conditions
Pfarrhofer, Michael
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 771-801
Persistent link: https://www.econbiz.de/10014532388
Saved in:
5
Modeling tail risks of inflation using unobserved component quantile regressions
Pfarrhofer, Michael
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013543015
Saved in:
6
Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko
;
Böck, Maximilian
;
Pfarrhofer, Michael
-
2018
In this paper we estimate a Bayesian vector autoregressive model with factor
stochastic
volatility
in the error term to …
Persistent link: https://www.econbiz.de/10011978764
Saved in:
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