bvarsv

swMATH11023CRANbvarsvMaRDI QIDQ22975FDOQ22975

Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

Fabian Krueger

Last update: 25 November 2015

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.1

Source code repository: https://github.com/cran/bvarsv

Described by source

• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited In (only showing first 100 items - show all)

• Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• Dynamic Bayesian predictive synthesis in time series forecasting
• Specification tests for time-varying parameter models with stochastic volatility
• Regime-switching cointegration
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• Long memory with stochastic variance model: a recursive analysis for US inflation
• Search frictions and evolving labour market dynamics
• Technology shocks and aggregate fluctuations in an estimated hybrid RBC model
• Learning, monetary policy rules, and macroeconomic stability
• Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
• Large Bayesian VARMAs
• Modelling breaks and clusters in the steady states of macroeconomic variables
• The evolution of U.S. monetary policy: 2000--2007
• The role of model uncertainty and learning in the US postwar policy response to oil prices
• Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
• Time-varying sparsity in dynamic regression models
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
• Testing for time variation in an unobserved components model for the U.S. economy
• Explaining the time-varying effects of oil market shocks on US stock returns
• Large time-varying parameter VARs
• FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS
• Minimal state variable solutions to Markov-switching rational expectations models
• A Bayesian nonparametric Markovian model for non-stationary time series
• Fiscal policy uncertainty and US output
• The effects of monetary policy on stock market bubbles at zero lower bound: revisiting the evidence
• Bayesian analysis of multivariate stochastic volatility with skew return distribution
• Bayesian inference in a time varying cointegration model
• Learning and time-varying macroeconomic volatility
• Changes in the effects of monetary policy on disaggregate price dynamics
• Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
• Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
• Variable selection in panel models with breaks
• Rare shocks vs. non-linearities: what drives extreme events in the economy? Some empirical evidence
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Time varying VARs with inequality restrictions
• A time-varying parameter structural model of the UK economy
• Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
• Keynesian economics without the Phillips curve
• Learning about fiscal policy and the effects of policy uncertainty
• Modeling the evolution of expectations and uncertainty in general equilibrium
• On the evolution of the monetary policy transmission mechanism
• Structural evolution of the postwar U.S. economy
• A skew Gaussian decomposable graphical model
• Modeling house price synchronization across the U.S. states and their time-varying macroeconomic linkages
• Investigating time-variation in the marginal predictive power of the yield spread
• Methods for measuring expectations and uncertainty in Markov-switching models
• tvReg
• Stochastic volatility and DSGE models
• Achieving shrinkage in a time-varying parameter model framework
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• Measurement errors and monetary policy: then and now
• Debt regimes and the effectiveness of monetary policy
• Macroeconomic effects of inflationary shocks with durable and non-durable consumption
• Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
• Modeling US housing prices by spatial dynamic structural equation models
• Methods for inference in large multiple-equation Markov-switching models
• Methods for computing marginal data densities from the Gibbs output
• Moving average stochastic volatility models with application to inflation forecast
• Stochastic volatility with leverage: fast and efficient likelihood inference
• FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
• Structural changes in the US economy: is there a role for monetary policy?
• Time-frequency regression
• Stochastic Model Specification Search for Time-Varying Parameter VARs
• Wavelet based time-varying vector autoregressive modelling
• Structural vector autoregressions with Markov switching
• Bayesian nonparametric vector autoregressive models
• A flexible approach to parametric inference in nonlinear and time varying time series models
• Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures
• Monetary policy regimes and the term structure of interest rates
• Production network structure and the impact of the monetary policy shocks: evidence from the OECD
• Price dispersion in bitcoin exchanges
• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Modeling tail risks of inflation using unobserved component quantile regressions
• The relation between the corporate bond-yield spread and the real economy: stable or time-varying?
• The horseshoe prior for time-varying parameter VARs and monetary policy
• Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
• Maximum likelihood estimation of a TVP-VAR
• Adaptive expectations and commodity risk premiums
• Deciphering the causes for the post-1990 slow output recoveries
• Measuring the natural rate of interest of China: a time varying perspective
• Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
• Bayesian compressed vector autoregressions
• A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States
• Monetary transmission in money markets: the not-so-elusive missing piece of the puzzle
• Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
• Time-varying instrumental variable estimation
• Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
• A state-space approach to time-varying reduced-rank regression
• Title not available (Why is that?)
• On fiscal and monetary policy-induced macroeconomic volatility dynamics
• Proxy vector autoregressions in a data-rich environment
• The heterogeneous impact of monetary policy on the US labor market
• A flexible mixed-frequency vector autoregression with a steady-state prior
• Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models
• Forecasting Swiss exports using Bayesian forecast reconciliation
• Adaptive hierarchical priors for high-dimensional vector autoregressions
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Uncertainty shocks and inflation dynamics in the U.S.
• Predicting crypto‐currencies using sparse non‐Gaussian state space models

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