-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between … frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts of the whole … density, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy. …

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the … parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus …

The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model …

and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when … method provides a computationally efficient alternative to several recently proposed algorithms. We present extensive … performance of our method for stock returns and corporate default panel data. (This paper is an updated version of the paper that …

the mean and inmedium and short-term components whichmeasure temporary deviations. A simulation-based Bayesian analysis …

This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of …

posterior inference of a basic PC model are analyzed using a Bayesian simulation based approach. Next, structural time series … favorably with existing Bayesian Vector Autoregressive and Stochastic Volatility models in terms of fit and predictive …

used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian … using the Bayesian or frequentist approach. We show that mitigating model uncertainty by combining forecasts leads to … substantial gains in forecasting performance, especially when applying Bayesian model averaging. …

Bayesian framework developed by Bos and Shephard (2004). Our results show that in general, the concerted interventions tend to …

for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …