Large time-varying parameter VARs
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Cites work
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Cited in
(50)- Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
- Variable targeting and reduction in large vector autoregressions with applications to workforce indicators
- Fast estimation of a large TVP-VAR model with score-driven volatilities
- Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
- Dynamic Bayesian predictive synthesis in time series forecasting
- Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
- The horseshoe prior for time-varying parameter VARs and monetary policy
- Maximum likelihood estimation of a TVP-VAR
- Hierarchical shrinkage in time-varying parameter models
- Dynamic dependence networks: financial time series forecasting and portfolio decisions
- Stochastic model specification search for time-varying parameter VARs
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- scientific article; zbMATH DE number 7306867 (Why is no real title available?)
- Comparing hybrid time-varying parameter VARs
- Time-varying Lasso
- Sparse Bayesian time-varying covariance estimation in many dimensions
- Achieving shrinkage in a time-varying parameter model framework
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- Forecasting the risk of cryptocurrencies: comparison and combination of GARCH and stochastic volatility models
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- Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
- Comparing stochastic volatility specifications for large Bayesian VARs
- Reducing the state space dimension in a large TVP-VAR
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