This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH models. These models are widespread and essential tools in financial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique....

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...

Stand-alone marketing models are well-suited to deal with different behavioral features such as variation in transaction frequency (customer heterogeneity with latent classes), recency and attrition (“buy ‘till you die” models), and more general changes in customer transaction rates...

There are many types of econometric models used in predicting the inflation rate, but in this study we used a Bayesian shrinkage combination approach. This methodology is used in order to improve the predictions accuracy by including information that is not captured by the econometric models....

BayVAR_R is an R package designed to estimate and analyze Vec-tor Autoregressive (VAR) models from both a classical (UVAR) andBayesian (BVAR) perspective. The package includes functionalities forthe speci cation, estimation and diagnosis of such a models. It alsoprovides procedures for...

China has experienced large improvements in mortality rates, but there remain substantial variations at the provincial level. This paper develops new models to project mortality at both the national and provincial levels in China. We propose two models in a Bayesian hierarchical framework based...

Financial sector development can play a crucial role in driving economic growth. Innovation in the payment system can potentially impact output, prices, and monetary policy transmissions. However, there is a conspicuous lack of work on the role of the payment system in driving economic activity,...

Increasing retirement ages in an automatic or scheduled way with increasing life expectancy at retirement is a popular pension policy response to continuous longevity improvements. The question addressed here is: to what extent is simply adopting this approach likely to fulfill the overall goals...

The paper is devoted to discussing consequences of the so-called Frisch-Waugh Theorem to posterior inference and Bayesian model comparison. We adopt a generalised normal linear regression framework and weaken its assumptions in order to cover non-normal, jointly elliptical sampling...

In this essay, I argue about the relevance and the ultimate unity of the Bayesian approach in a neutral and agnostic manner. My main theme is that Bayesian data analysis is an effective tool for handling complex models, as proven by the increasing proportion of Bayesian studies in the applied...