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General Bayesian time-varying parameter vector autoregressions for modeling government bond yields

Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - In: Journal of applied econometrics 38 (2023) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10014287924

Specification choices in quantile regression for empirical macroeconomics

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of applied econometrics 40 (2025) 1, pp. 57-73

Persistent link: https://www.econbiz.de/10015372712

Assessing the impact of goods and services inflation on consumer and professional forecaster expectations : a bayesian shrinkage approach

Palardy, Joseph; Ovaska, Tomi - In: Applied economics 57 (2025) 6, pp. 678-689

Persistent link: https://www.econbiz.de/10015192445

General Bayesian time-varying parameter VARs for modeling government bond yields

Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022

Persistent link: https://www.econbiz.de/10012498662

A high-dimensional additive nonparametric model

Wu, Frank C. Z. - In: Journal of economic dynamics & control 166 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10015051264

Locally time-varying parameter regression

He, Zhongfang - In: Econometric reviews 43 (2024) 5, pp. 269-300

Persistent link: https://www.econbiz.de/10014551522

Time-dependent shrinkage of time-varying parameter regression models

He, Zhongfang - In: Econometric reviews 43 (2024) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10014486369

A dynamic binary probit model with time-varying parameters and shrinkage prior

He, Zhongfang - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 335-346

Persistent link: https://www.econbiz.de/10014449935

Multi-scale impacts of oil shocks on travel and leisure stocks : a MODWT-Bayesian TVP model with shrinkage approach

Liang, Ruibin; Cheng, Sheng; Cao, Yan; Li, Xinran - In: Technological forecasting and social change : an … 200 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015116950

The time-varying evolution of inflation risks

Korobilis, Dimitris; Landau, Bettina; Musso, Alberto; … - 2021

This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting in ation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting in ation with the ability of quantile regression to...

Persistent link: https://www.econbiz.de/10012643282

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