modelling that enables stochastic structural change in model parameters and on model estimation by Bayesian or non …-parametric kernel methods. In the context of the estimation of covariance matrices of large dimensional panels, such data requires … applicable in econometric analysis beyond estimation of large covariance matrices. We discuss the utility of the robust …

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …