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Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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Large Bayesian VARMAs
Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Journal of econometrics 192 (2016) 2, pp. 374-390
Persistent link: https://www.econbiz.de/10011704723
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Parsimony inducing priors for large scale state-space models
Lopes, Hedibert Freitas; McCulloch, Robert E.; Tsay, Ruey S. - In: Journal of econometrics 230 (2022) 1, pp. 39-61
Persistent link: https://www.econbiz.de/10013441913
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Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85
Persistent link: https://www.econbiz.de/10011594405
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Methods for measuring expectations and uncertainty in Markov-switching models
Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99
Persistent link: https://www.econbiz.de/10011591621
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A quasi-Bayesian local likelihood approach to time varying parameter VAR models
Petrova, Katerina - In: Journal of econometrics 212 (2019) 1, pp. 286-306
Persistent link: https://www.econbiz.de/10012303932
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SVARs with occasionally-binding constraints
Aruoba, S. Borağan; Mlikota, Marko; Schorfheide, Frank; … - In: Journal of econometrics 231 (2022) 2, pp. 477-499
Persistent link: https://www.econbiz.de/10013464897
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Bayesian inference in a time varying cointegration model
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - In: Journal of econometrics 165 (2011) 2, pp. 210-220
Persistent link: https://www.econbiz.de/10009409679
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Bayesian nonparametric vector autoregressive models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 203 (2018) 2, pp. 267-282
Persistent link: https://www.econbiz.de/10011974694
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Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark - In: Journal of econometrics 227 (2022) 2, pp. 498-505
Persistent link: https://www.econbiz.de/10013442175