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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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Reducing the state space dimension in a large TVP-VAR
Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - In: Journal of econometrics 218 (2020) 1, pp. 105-118
Persistent link: https://www.econbiz.de/10012482932
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Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua - In: Journal of econometrics 235 (2023) 2, pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
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Indirect inference with a non-smooth criterion function
Frazier, David T.; Oka, Tatsushi; Zhu, Dan - In: Journal of econometrics 212 (2019) 2, pp. 623-645
Persistent link: https://www.econbiz.de/10012304119
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Hybrid unadjusted Langevin methods for high-dimensional latent variable models
Loiza-Maya, Ruben; Nibbering, Didier; Zhu, Dan - In: Journal of econometrics 241 (2024) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10015075170
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Moving average stochastic volatility models with application to inflation forecast
Chan, Joshua C. C. - In: Journal of econometrics 176 (2013) 2, pp. 162-172
Persistent link: https://www.econbiz.de/10009786503
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Large stochastic volatility in mean VARs
Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - In: Journal of econometrics 236 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014332245