Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
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Cites work
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Cited in
(12)- Bayesian estimation of cluster covariance matrices of unknown form
- Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
- Fast estimation of a large TVP-VAR model with score-driven volatilities
- Hybrid SV-GARCH, t-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?
- Large Order-Invariant Bayesian VARs with Stochastic Volatility
- Rational maximum likelihood estimators of Kronecker covariance matrices
- Bayesian VARs and prior calibration in times of COVID-19
- Multivariate stochastic volatility with co-heteroscedasticity
- Has the COVID-19 outbreak capsized the predictive performance of Bayesian VAR models with cointegration and time-varying volatility?
- M^*-BVAR: Bayesian vector autoregression with macroeconomic stars
- Theory Coherent Shrinkage of Time-Varying Parameters in VARs
- bvars
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