Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
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Publication:3089151
DOI10.1198/JBES.2010.09248zbMATH Open1219.91106OpenAlexW1985789769MaRDI QIDQ3089151FDOQ3089151
Publication date: 24 August 2011
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2010.09248
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Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Cited In (58)
- Large Order-Invariant Bayesian VARs with Stochastic Volatility
- Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
- Adaptive Shrinkage in Bayesian Vector Autoregressive Models
- Macroeconomic Uncertainty Through the Lens of Professional Forecasters
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- Local projections in unstable environments
- Density Forecasts of Emerging Markets’ Exchange Rates Using Monte Carlo Simulation with Regime Switching
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
- Modeling tail risks of inflation using unobserved component quantile regressions
- Nowcasting in a pandemic using non-parametric mixed frequency VARs
- Vector autoregression models with skewness and heavy tails
- Specification tests for time-varying parameter models with stochastic volatility
- Constrained interest rates and changing dynamics at the zero lower bound
- Large stochastic volatility in mean VARs
- Alternative tests for correct specification of conditional predictive densities
- Bayesian compressed vector autoregressions
- Reconciled Estimates of Monthly GDP in the United States
- Sequential Bayesian inference for vector autoregressions with stochastic volatility
- Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
- 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
- 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
- FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS
- The heterogeneous impact of monetary policy on the US labor market
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- 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
- Real-time forecast evaluation of DSGE models with stochastic volatility
- Predicting crypto‐currencies using sparse non‐Gaussian state space models
- Testing for structural changes in linear regressions with time-varying variance
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- 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
- Comment on article by Windle and Carvalho
- Comparing hybrid time-varying parameter VARs
- Stochastic model specification in Markov switching vector error correction models
- 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
- High-dimensional conditionally Gaussian state space models with missing data
- Combining VAR and DSGE forecast densities
- Measuring the trend real interest rate in a data-rich environment
- Comparing stochastic volatility specifications for large Bayesian VARs
- Oil-price density forecasts of US GDP
- Steady-state priors and Bayesian variable selection in VAR forecasting
- Macroeconomic uncertainty and forecasting macroeconomic aggregates
- 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
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