We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

Information and communications technology (ICT) has potential to complement information sharing bureaus (ISB) Most companies use social networks as communication channels because they can provide significant business benefits. This paper focuses on the impact of social networks in a Spanish...

Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done but, in the vast majority of cases, without considering the network structure of the shocks and by placing the prior...

Managing a portfolio whose value closely tracks an index by trading only in a subset of the index constituents involves an NP-hard optimisation problem. In the prior literature, it has been suggested that this problem be solved using sequential Monte Carlo (SMC, also known as particle filter)...