Hybrid SV-GARCH, t-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?

DOI10.1111/INSR.12546MaRDI QIDQ6580679FDOQ6580679

Authors: Anna Pajor, Justyna Wróblewska, Łukasz Kwiatkowski, Jacek Osiewalski 

Publication date: 29 July 2024

Published in: International Statistical Review (Search for Journal in Brave)

zbMATH Keywords

conditional heteroskedasticityBayesian methodscointegrationstochastic volatilityerror correction modelsdensity forecastsprobabilistic forecasting

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Parametric inference (62Fxx) Inference from stochastic processes (62Mxx)

Cites Work

• Time Varying Structural Vector Autoregressions and Monetary Policy
• Generalized autoregressive conditional heteroscedasticity
• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Comparison of Bayesian predictive methods for model selection
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Finite mixture and Markov switching models.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• On Gibbs sampling for state space models
• Calculating posterior distributions and modal estimates in Markov mixture models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Large time-varying parameter VARs
• Statistical analysis of cointegration vectors
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Contemporary Bayesian Econometrics and Statistics
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Bayesian analysis of the error correction model
• Errata: ``A survey of Bayesian predictive methods for model assessment, selection and comparison
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Bayesian inference in a time varying cointegration model
• Stochastic model specification in Markov switching vector error correction models
• Regime-switching cointegration
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Forecast accuracy of a BVAR under alternative specifications of the zero lower bound
• VEC-MSF models in Bayesian analysis of short- and long-run relationships
• Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure

This page was built for publication: Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6580679)