This paper investigates the importance of time-varying parameters in US macro-financial linkages. To do so, we adopt a flexible hybrid time-varying parameter Bayesian vector autoregression with stochastic volatility empirical framework. We find that, first, macro-financial linkages are mainly...

Data collection and the availability of large data sets has increased over the last decades. In both statistical and machine learning frameworks, two methodological issues typically arise when performing regression analysis on large data sets. First, variable selection is crucial in regression...