Narrow search
Showing 1 - 4 of 4
Cover Image
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor - In: Journal of econometrics 210 (2019) 1, pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
Cover Image
Efficient bayesian inference for multivariate factor stochastic volatility models
Kastner, Gregor; Frühwirth-Schnatter, Sylvia; Lopes, … - 2016
Persistent link: https://www.econbiz.de/10011529631
Cover Image
Should I stay or should I go? : Bayesian inference in the threshold time varying parameter (TTVP) model
Huber, Florian; Kastner, Gregor; Feldkircher, Martin - 2016
Persistent link: https://www.econbiz.de/10011558068
Cover Image
Sophisticated and small versus simple and sizeable : when does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?
Feldkircher, Martin; Gruber, Luis; Huber, Florian; … - In: Journal of forecasting 43 (2024) 6, pp. 2126-2145
Persistent link: https://www.econbiz.de/10015110374