Software:22975

swMATH11023CRANbvarsvMaRDI QIDQ22975FDOQ22975

Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

Fabian Krueger

Last update: 25 November 2015

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.1

Source code repository: https://github.com/cran/bvarsv

Described by source

• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited In (only showing first 100 items - show all)

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• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
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• The relation between the corporate bond-yield spread and the real economy: stable or time-varying?
• The horseshoe prior for time-varying parameter VARs and monetary policy
• Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
• Maximum likelihood estimation of a TVP-VAR
• Adaptive expectations and commodity risk premiums
• Deciphering the causes for the post-1990 slow output recoveries
• Measuring the natural rate of interest of China: a time varying perspective
• Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
• Bayesian compressed vector autoregressions
• A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States
• Monetary transmission in money markets: the not-so-elusive missing piece of the puzzle
• Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
• Time-varying instrumental variable estimation
• Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
• A state-space approach to time-varying reduced-rank regression
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• On fiscal and monetary policy-induced macroeconomic volatility dynamics
• Proxy vector autoregressions in a data-rich environment
• The heterogeneous impact of monetary policy on the US labor market
• A flexible mixed-frequency vector autoregression with a steady-state prior
• Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models
• Forecasting Swiss exports using Bayesian forecast reconciliation
• Adaptive hierarchical priors for high-dimensional vector autoregressions
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Uncertainty shocks and inflation dynamics in the U.S.
• Predicting crypto‐currencies using sparse non‐Gaussian state space models
• On the stability of Calvo-style price-setting behavior
• Boosting high dimensional predictive regressions with time varying parameters
• Comparing hybrid time-varying parameter VARs
• A topological view on the identification of structural vector autoregressions
• Dynamic variable selection with spike-and-slab process priors
• Scalable inference for a full multivariate stochastic volatility model
• A quasi-Bayesian local likelihood approach to time varying parameter VAR models
• Construction of the Monetary Conditions Index with TVP-VAR Model: Empirical Evidence for Turkish Economy
• Optimal asset allocation with multivariate Bayesian dynamic linear models
• Implicit government guarantees and the externality of portfolio diversification: a complex network approach
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• Monetary policy and US housing expansions: the case of time-varying supply elasticities
• DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
• Time-varying rational expectations models
• Bayesian emulation for multi-step optimization in decision problems
• Oil-price density forecasts of US GDP
• Common time variation of parameters in reduced-form macroeconomic models
• Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
• Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
• Modeling time-variation over the business cycle (1960--2017): an international perspective
• Steady-state priors and Bayesian variable selection in VAR forecasting
• VEC-MSF models in Bayesian analysis of short- and long-run relationships
• Discussion of ``Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
• Revisiting the Great Moderation : policy or luck?
• Reducing the state space dimension in a large TVP-VAR
• The role of uncertainty on agricultural futures markets momentum trading and volatility
• An effcient exact Bayesian method for state space models with stochastic volatility
• Macroeconomic uncertainty and forecasting macroeconomic aggregates
• Bayesian semiparametric multivariate stochastic volatility with application
• Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• Dynamic Bayesian predictive synthesis in time series forecasting
• Specification tests for time-varying parameter models with stochastic volatility
• Regime-switching cointegration
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• Long memory with stochastic variance model: a recursive analysis for US inflation
• Search frictions and evolving labour market dynamics
• Technology shocks and aggregate fluctuations in an estimated hybrid RBC model
• Learning, monetary policy rules, and macroeconomic stability
• Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
• Large Bayesian VARMAs
• Modelling breaks and clusters in the steady states of macroeconomic variables
• The evolution of U.S. monetary policy: 2000--2007
• The role of model uncertainty and learning in the US postwar policy response to oil prices
• Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
• Time-varying sparsity in dynamic regression models
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
• Testing for time variation in an unobserved components model for the U.S. economy
• Explaining the time-varying effects of oil market shocks on US stock returns
• Large time-varying parameter VARs
• FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS
• Minimal state variable solutions to Markov-switching rational expectations models
• A Bayesian nonparametric Markovian model for non-stationary time series
• Fiscal policy uncertainty and US output
• The effects of monetary policy on stock market bubbles at zero lower bound: revisiting the evidence
• Bayesian analysis of multivariate stochastic volatility with skew return distribution
• Bayesian inference in a time varying cointegration model
• Learning and time-varying macroeconomic volatility
• Changes in the effects of monetary policy on disaggregate price dynamics
• Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
• Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
• Variable selection in panel models with breaks
• Rare shocks vs. non-linearities: what drives extreme events in the economy? Some empirical evidence
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Time varying VARs with inequality restrictions
• A time-varying parameter structural model of the UK economy
• Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
• Keynesian economics without the Phillips curve
• Learning about fiscal policy and the effects of policy uncertainty
• Modeling the evolution of expectations and uncertainty in general equilibrium

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