Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model

DOI10.1016/S0165-1889(06)80011-4MaRDI QIDQ1195779zbMATH OpenFDO

Authors Fabio Canova

Publication date 13 January 1993

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62)

Cites work

• scientific article; zbMATH DE number 88834 (Why is no real title available?)
• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• ARMA MODELS WITH ARCH ERRORS
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Conditional Heteroscedastic Time Series Models
• Empirical modeling of exchange rate dynamics
• Estimating the dimension of a model
• Forecasting and conditional projection using realistic prior distributions
• Predicting a Multitude of Time Series
• Tests of Linear Hypotheses and l"1 Estimation

Cited in

(8)

• Forecasting and turning point predictions in a Bayesian panel VAR model
• Marginal Likelihood Estimation with the Cross-Entropy Method
• The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
• Fast computation of the deviance information criterion for latent variable models
• Markov-Switching Three-Pass Regression Filter
• Structural breaks in Taylor rule based exchange rate models -- evidence from threshold time varying parameter models
• Local projections in unstable environments
• Variational inference for varying-coefficient model

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