Predictive Macro-Finance With Dynamic Partition Models

DOI10.1198/JASA.2011.AP09732MaRDI QIDQ3095159zbMATHOpenAlexFDO

Authors Daniel Zantedeschi, Paul Damien, Nicholas G. Polson

Publication date 28 October 2011

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/jasa.2011.ap09732

zbMATH Keywords

Bayes factorparticle learningbond yieldNelson-Siegel model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(4)

• Bayesian robustness in change point analysis
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• On a nonparametric change point detection model in Markovian regimes
• Predicting the direction of the Fed's target rate

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