We study the out-of-sample forecasting performance of 32 exchange rates vis-a-vis the New Taiwan Dollar (NTD) in a 32-variable vector autoregression (VAR) model. The Bayesian approach is applied to the large-scale VAR model (LBVAR), and its (timevarying) forecasting performance is compared to...

This study's main purpose is to use Bayesian structural time-series models to investigate the causal effect of an earthquake on the Borsa Istanbul Stock Index. The results reveal a significant negative impact on stock market value during the post-treatment period. The results indicate rapid...