This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...

Forecasting macroeconomic variables using diffusion indexes in short samples with structural change / Anindya Banerjee, Massimiliano Marcellino, Igor Masten -- Predictive inference under model misspecification / Nii Ayi Armah, Norman R. Swanson -- Forecasting persistent data with possible...

We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable selection is that we also allow for uncertainty...

Several lessons learnt from a Bayesian analysis of basic macroeconomic time-series models are presented for the situation where some model parameters have substantial posterior probability near the boundary of the parameter region. This feature refers to near-instability within dynamic models,...

Equilibrium job search models allow for labor markets with homogeneous workers and firms to yield nondegenerate wage densities. However, the resulting wage densities do not accord well with empirical regularities. Accordingly, many extensions to the basic equilibrium search model have been...

WIC, the Special Supplemental Nutrition Program for Women, Infants, and Children, is a widely studied public food assistance program that aims to provide foods, nutrition education, and other services to at-risk, low-income children and pregnant, breastfeeding, and postpartum women. From a...