Predictive Macro-Finance With Dynamic Partition Models

DOI10.1198/JASA.2011.AP09732zbMATH Open1232.62140OpenAlexW2021273502MaRDI QIDQ3095159FDOQ3095159

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

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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)

Cited In (3)

• On a nonparametric change point detection model in Markovian regimes
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Bayesian robustness in change point analysis

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