Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
From MaRDI portal
(Redirected from Publication:3089151)
Recommendations
- Real-time forecast evaluation of DSGE models with stochastic volatility
- Bayesian Vector Autoregressions with Stochastic Volatility
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- Inference in Bayesian additive vector autoregressive tree models
- Forecasting and conditional projection using realistic prior distributions
Cited in
(62)- Modeling tail risks of inflation using unobserved component quantile regressions
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
- Nowcasting in a pandemic using non-parametric mixed frequency VARs
- Vector autoregression models with skewness and heavy tails
- Bayesian neural networks for macroeconomic analysis
- Specification tests for time-varying parameter models with stochastic volatility
- Constrained interest rates and changing dynamics at the zero lower bound
- Alternative tests for correct specification of conditional predictive densities
- Bayesian compressed vector autoregressions
- Large stochastic volatility in mean VARs
- Sequential Bayesian inference for vector autoregressions with stochastic volatility
- Reconciled Estimates of Monthly GDP in the United States
- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
- Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
- Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
- Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- A MIDAS approach to modeling first and second moment dynamics
- The heterogeneous impact of monetary policy on the US labor market
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Density forecasts of emerging markets' exchange rates using Monte Carlo simulation with regime switching
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- Real-time forecast evaluation of DSGE models with stochastic volatility
- Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity
- Forecasting Macroeconomic Variables Under Model Instability
- The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
- Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- Robust tests for changing volatility
- Testing for structural changes in linear regressions with time-varying variance
- Large Hybrid Time-Varying Parameter VARs
- Identification of Structural Vector Autoregressions by Stochastic Volatility
- A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
- Combined Density Nowcasting in an Uncertain Economic Environment
- Large Order-Invariant Bayesian VARs with Stochastic Volatility
- Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
- Adaptive Shrinkage in Bayesian Vector Autoregressive Models
- Comment on article by Windle and Carvalho
- Comparing hybrid time-varying parameter VARs
- Stochastic model specification in Markov switching vector error correction models
- Macroeconomic Uncertainty Through the Lens of Professional Forecasters
- Asymmetric conjugate priors for large Bayesian VARs
- Scalable inference for a full multivariate stochastic volatility model
- A quasi-Bayesian local likelihood approach to time varying parameter VAR models
- Inference in Bayesian additive vector autoregressive tree models
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- High-dimensional conditionally Gaussian state space models with missing data
- Combining VAR and DSGE forecast densities
- Forecasting global equity indices using large Bayesian VARs
- Measuring the trend real interest rate in a data-rich environment
- Oil-price density forecasts of US GDP
- Steady-state priors and Bayesian variable selection in VAR forecasting
- Comparing stochastic volatility specifications for large Bayesian VARs
- Predictive density combination using Bayesian machine learning
- Local projections in unstable environments
- Macroeconomic uncertainty and forecasting macroeconomic aggregates
- Predicting crypto-currencies using sparse non-Gaussian state space models
- Construction of multi-step forecast regions of VAR processes using ordered block bootstrap
- Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series
This page was built for publication: Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3089151)