Forecasting global equity indices using large Bayesian VARs
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Publication:4976362
DOI10.1111/BOER.12094zbMATH Open1367.91151OpenAlexW1756191993MaRDI QIDQ4976362FDOQ4976362
Authors: Florian Huber, Tamás Krisztin, Philipp Piribauer 
Publication date: 28 July 2017
Published in: Bulletin of Economic Research (Search for Journal in Brave)
Full work available at URL: http://pure.iiasa.ac.at/id/eprint/13713/1/FORECASTING%20GLOBAL%20EQUITY%20INDICES%20USING%20LARGE%20BAYESIAN%20VARS.pdf
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Cites Work
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Autoregressive conditional heteroskedasticity and changes in regime
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
- Forecasting and conditional projection using realistic prior distributions
- Bayesian multivariate time series methods for empirical macroeconomics
- Forecasting Performance of an Open Economy DSGE Model
- Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index.
- Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
- Forecasting multivariate realized stock market volatility
Cited In (4)
- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- Title not available (Why is that?)
- 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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