Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective

DOI10.1016/J.JECONOM.2018.11.001zbMATH Open1411.00061OpenAlexW2901393757MaRDI QIDQ1740337FDOQ1740337

Authors:

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.11.001

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Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cites Work

• Sparse Bayesian time-varying covariance estimation in many dimensions
• Achieving shrinkage in a time-varying parameter model framework
• Dynamic Bayesian predictive synthesis in time series forecasting
• Forecast density combinations of dynamic models and data driven portfolio strategies
• Sequentially adaptive Bayesian learning algorithms for inference and optimization
• Tempered particle filtering
• Importance sampling from posterior distributions using copula-like approximations
• Modeling systemic risk with Markov switching graphical SUR models
• Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
• Bayesian compressed vector autoregressions
• Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
• The value of news for economic developments

Cited In (4)

• Editorial: Big data in dynamic predictive econometric modeling
• Preface: special issue on complex data processing methods and their applications to economic systems
• Uncertainty in financial econometrics: editorial
• Introduction for the special issue on the Gerzensee conference

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