Forecasting global equity indices using large Bayesian VARs
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Cites work
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index.
- Autoregressive conditional heteroskedasticity and changes in regime
- Bayesian multivariate time series methods for empirical macroeconomics
- Forecasting Performance of an Open Economy DSGE Model
- Forecasting and conditional projection using realistic prior distributions
- Forecasting multivariate realized stock market volatility
- Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
- Time Varying Structural Vector Autoregressions and Monetary Policy
Cited in
(4)- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- scientific article; zbMATH DE number 1304916 (Why is no real title available?)
- Maximizing equity market sector predictability in a Bayesian time-varying parameter model
- A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
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