Eric Eisenstat
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Joshua C.C. Chan & Eric Eisenstat & Rodney W. Strachan, 2018.
"Reducing dimensions in a large TVP-VAR,"
CAMA Working Papers
2018-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper series 18-37, Rimini Centre for Economic Analysis.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
Cited by:
- Jim Hart & Bernardino D'Amico & Francesco Pomponi, 2021. "Whole‐life embodied carbon in multistory buildings: Steel, concrete and timber structures," Journal of Industrial Ecology, Yale University, vol. 25(2), pages 403-418, April.
- Philippe Goulet Coulombe, 2021.
"The Macroeconomy as a Random Forest,"
Working Papers
21-05, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
- Philippe Goulet Coulombe, 2024. "The macroeconomy as a random forest," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 401-421, April.
- Simon Beyeler, 2019. "Streamlining Time-varying VAR with a Factor Structure in the Parameters," Working Papers 19.03, Swiss National Bank, Study Center Gerzensee.
- Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Nov 2024.
- Zhao, Jing, 2023. "Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system," Resources Policy, Elsevier, vol. 82(C).
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
CAMA Working Papers
2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
Cited by:
- Jan Pruser & Florian Huber, 2023.
"Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions,"
Papers
2301.13604, arXiv.org, revised Sep 2023.
- Jan Prüser & Florian Huber, 2024. "Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(2), pages 269-291, March.
- Joshua C. C. Chan, 2022.
"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
Papers
2208.13255, arXiv.org.
- Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
- Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018.
"Bayesian vector autoregressions,"
Documents de Travail de l'OFCE
2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Working Papers hal-03458277, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
- Yuliya Rychalovska & Sergey Slobodyan & Rafael Wouters, 2023. "Professional Survey Forecasts and Expectations in DSGE Models," CERGE-EI Working Papers wp766, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Laumer, Sebastian, 2020. "Government spending and heterogeneous consumption dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
- Zheng, Tingguo & Ye, Shiqi & Hong, Yongmiao, 2023. "Fast estimation of a large TVP-VAR model with score-driven volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Canova, Fabio & Matthes, Christian, 2018.
"A composite likelihood approach for dynamic structural models,"
CEPR Discussion Papers
13245, C.E.P.R. Discussion Papers.
- Fabio Canova & Christian Matthes, 2018. "A composite likelihood approach for dynamic structural models," Working Papers No 10/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Fabio Canova & Christian Matthes, 2021. "A Composite Likelihood Approach for Dynamic Structural Models," The Economic Journal, Royal Economic Society, vol. 131(638), pages 2447-2477.
- Fabio Canova & Christian Matthes, 2018. "A Composite Likelihood Approach for Dynamic Structural Models," Working Paper 18-12, Federal Reserve Bank of Richmond.
- Gunawan, David & Kohn, Robert & Nott, David, 2021. "Variational Bayes approximation of factor stochastic volatility models," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1355-1375.
- Raanju R. Sundararajan & Wagner Barreto‐Souza, 2023. "Student‐t stochastic volatility model with composite likelihood EM‐algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 125-147, January.
- Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024.
"The Time-Varying Multivariate Autoregressive Index Model,"
CEIS Research Paper
571, Tor Vergata University, CEIS, revised 10 Jan 2024.
- G. Cubadda & S. Grassi & B. Guardabascio, 2022. "The Time-Varying Multivariate Autoregressive Index Model," Papers 2201.07069, arXiv.org.
- Cubadda, Gianluca & Grassi, Stefano & Guardabascio, Barbara, 2025. "The time-varying Multivariate Autoregressive Index model," International Journal of Forecasting, Elsevier, vol. 41(1), pages 175-190.
- Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
- Joshua C.C. Chan & Eric Eisenstat, 2018.
"Comparing hybrid time-varying parameter VARs,"
CAMA Working Papers
2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Eisenstat, Eric, 2018. "Comparing hybrid time-varying parameter VARs," Economics Letters, Elsevier, vol. 171(C), pages 1-5.
Cited by:
- Joshua C. C. Chan, 2019.
"Asymmetric Conjugate Priors for Large Bayesian VARs,"
CAMA Working Papers
2019-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2021. "Asymmetric Conjugate Priors for Large Bayesian VARs," Papers 2111.07170, arXiv.org.
- Joshua C. C. Chan, 2022. "Asymmetric conjugate priors for large Bayesian VARs," Quantitative Economics, Econometric Society, vol. 13(3), pages 1145-1169, July.
- Lin Liu, 2021. "U.S. Economic Uncertainty Shocks and China’s Economic Activities: A Time-Varying Perspective," SAGE Open, , vol. 11(3), pages 21582440211, July.
- Joshua C. C. Chan, 2019.
"Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs,"
CAMA Working Papers
2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C., 2021. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
- Álvaro Jiménez & Gabriel Rodríguez, 2020.
"Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models,"
Documentos de Trabajo / Working Papers
2020-489, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Jiménez, Alvaro & Rodríguez, Gabriel & Ataurima Arellano, Miguel, 2023. "Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models," Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 314-332.
- Helge Berger & Sune Karlsson & Pär Österholm, 2023.
"A note of caution on the relation between money growth and inflation,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 70(5), pages 479-496, November.
- Berger, Helge & Karlsson, Sune & Österholm, Pär, 2023. "A Note of Caution on the Relation between Money Growth and Inflation," Working Papers 2023:9, Örebro University, School of Business.
- Mr. Helge Berger & Sune Karlsson & Pär Österholm, 2023. "A Note of Caution on the Relation Between Money Growth and Inflation," IMF Working Papers 2023/137, International Monetary Fund.
- Edvinsson, Rodney & Karlsson, Sune & Österholm, Pär, 2023. "Does Money Growth Predict Inflation? Evidence from Vector Autoregressions Using Four Centuries of Data," Working Papers 2023:3, Örebro University, School of Business.
- Karlsson, Sune & Österholm, Pär, 2020. "A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States," Economics Letters, Elsevier, vol. 197(C).
- Jiangying Wei & Ridong Hu & Feng Chen, 2024. "The Path to Sustainable Stability: Can ESG Investing Mitigate the Spillover Effects of Risk in China’s Financial Markets?," Sustainability, MDPI, vol. 16(23), pages 1-25, November.
- Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Nov 2024.
- Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018.
"Identifying Noise Shocks,"
Working Paper Series
41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Benati, Luca & Chan, Joshua & Eisenstat, Eric & Koop, Gary, 2020. "Identifying noise shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
Cited by:
- Belke, Ansgar & Elstner, Steffen & Rujin, Svetlana, 2020.
"Growth prospects and the trade balance in advanced economies,"
Ruhr Economic Papers
827, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, revised 2020.
- Ansgar Belke & Steffen Elstner & Svetlana Rujin, 2022. "Growth Prospects and the Trade Balance in Advanced Economies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1209-1234, October.
- Luca Benati & Thomas A. Lubik, 2021.
"Searching for Hysteresis,"
Working Paper
21-03, Federal Reserve Bank of Richmond.
- Luca Benati & Thomas A. Lubik, 2022. "Searching for Hysteresis," Working Paper 22-05, Federal Reserve Bank of Richmond.
- Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2018.
"The Effect of News Shocks and Monetary Policy,"
Working Paper series
18-19, Rimini Centre for Economic Analysis.
- Gambetti, Luca & Korobilis, Dimitris & Tsoukalas, John D. & Zanetti, Francesco, 2017. "The effect of news shocks and monetary policy," LSE Research Online Documents on Economics 86145, London School of Economics and Political Science, LSE Library.
- Gambetti, L & Korobilis, D & Tsoukalas, J & Zanetti, F, 2017. "The Effect of News Shocks and Monetary Policy," Essex Finance Centre Working Papers 20428, University of Essex, Essex Business School.
- Luca Gambetti & Christoph Görtz & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2019. "The effect of news shocks and monetary policy," CESifo Working Paper Series 7578, CESifo.
- Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2017. "The Effect of News Shocks and Monetary Policy," Discussion Papers 1730, Centre for Macroeconomics (CFM).
- Luca Gambetti & Christoph Görtz & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2022. "The Effect of News Shocks and Monetary Policy," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 139-164, Emerald Group Publishing Limited.
- Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2017. "The Effect of News Shocks and Monetary Policy," Working Papers 2017_11, Business School - Economics, University of Glasgow.
- Francesco Zanetti & Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas, 2017. "The Effect of News Shocks and Monetary Policy," Economics Series Working Papers 838, University of Oxford, Department of Economics.
- Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2017. "The Effect of News Shocks and Monetary Policy," BCAM Working Papers 1705, Birkbeck Centre for Applied Macroeconomics.
- Luca Gambetti & Christoph Gortz & Dimitris Korobilis & John Tsoukalas & Francesco Zanetti, 2019. "The Effect of News Shocks and Monetary Policy," Discussion Papers 19-03, Department of Economics, University of Birmingham.
- Joshua C.C. Chan & Eric Eisenstat, 2015.
"Bayesian model comparison for time-varying parameter VARs with stochastic volatility,"
CAMA Working Papers
2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time‐varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
Cited by:
- Joshua C. C. Chan, 2022.
"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
Papers
2208.13255, arXiv.org.
- Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Huang, Yingying & Duan, Kun & Urquhart, Andrew, 2023. "Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019.
"Decomposing global yield curve co-movement,"
Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Decomposing Global Yield Curve Co-Movement," Essex Finance Centre Working Papers 18194, University of Essex, Essex Business School.
- Paulo Chávez & Gabriel Rodríguez, 2023.
"Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 159(2), pages 505-544, May.
- Gabriel Rodríguez & Paulo Chávez, 2022. "Time Changing Effects of External Shocks on Macroeconomic Fluctuations in Peru: Empirical Application Using Regime-Switching VAR Models with Stochastic Volatility," Documentos de Trabajo / Working Papers 2022-509, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Cross, Jamie & Nguyen, Bao H., 2017. "The relationship between global oil price shocks and China's output: A time-varying analysis," Energy Economics, Elsevier, vol. 62(C), pages 79-91.
- Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
- Michael Pfarrhofer, 2019.
"Measuring international uncertainty using global vector autoregressions with drifting parameters,"
Papers
1908.06325, arXiv.org, revised Dec 2019.
- Pfarrhofer, Michael, 2023. "Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters," Macroeconomic Dynamics, Cambridge University Press, vol. 27(3), pages 770-793, April.
- Pfarrhofer, Michael, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Working Papers in Economics 2019-3, University of Salzburg.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022.
"An automated prior robustness analysis in Bayesian model comparison,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "An Automated Prior Robustness Analysis in Bayesian Model Comparison," CAMA Working Papers 2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2021.
"Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty,"
CEPR Discussion Papers
16346, C.E.P.R. Discussion Papers.
- Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
- Wenying Zeng & Songbai Song & Yan Kang & Xuan Gao & Rui Ma, 2022. "Response of Runoff to Meteorological Factors Based on Time-Varying Parameter Vector Autoregressive Model with Stochastic Volatility in Arid and Semi-Arid Area of Weihe River Basin," Sustainability, MDPI, vol. 14(12), pages 1-12, June.
- Hou, Chenghan, 2017. "Infinite hidden markov switching VARs with application to macroeconomic forecast," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1025-1043.
- Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024.
"Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference,"
Papers
2404.11057, arXiv.org.
- Helmut Lütkepohl & Fei Shang & Luis Uzeda & Tomasz Woźniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Discussion Papers of DIW Berlin 2081, DIW Berlin, German Institute for Economic Research.
- Joshua C.C. Chan & Xuewen Yu, 2020.
"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
CAMA Working Papers
2020-108, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
- Karlsson, Sune & Österholm, Pär, 2018.
"A Note on the Stability of the Swedish Philips Curve,"
Working Papers
2018:6, Örebro University, School of Business.
- Sune Karlsson & Pär Österholm, 2020. "A note on the stability of the Swedish Phillips curve," Empirical Economics, Springer, vol. 59(6), pages 2573-2612, December.
- Apergis Nicholas, 2021. "Forecasting US overseas travelling with univariate and multivariate models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 963-976, September.
- Lin Liu, 2021. "U.S. Economic Uncertainty Shocks and China’s Economic Activities: A Time-Varying Perspective," SAGE Open, , vol. 11(3), pages 21582440211, July.
- Jamie L. Cross & Chenghan Hou & Bao H. Nguyen, 2018. "On the China factor in international oil markets: A regime switching approach," Working Papers No 11/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2020.
"Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 124-136, January.
- Wang, Mu-Chun, 2018. "Choosing Prior Hyperparameters: With Applications To Time-Varying Parameter Models," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181621, Verein für Socialpolitik / German Economic Association.
- Rodriguez, Gabriel & Castillo B., Paul & Calero, Roberto & Salcedo Cisneros, Rodrigo & Ataurima Arellano, Miguel, 2024.
"Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models,"
Journal of International Money and Finance, Elsevier, vol. 142(C).
- Roberto Calero & Gabriel Rodríguez & Rodrigo Salcedo Cisneros, 2022. "Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-510, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018.
"Reducing Dimensions in a Large TVP-VAR,"
Working Paper series
18-37, Rimini Centre for Economic Analysis.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C.C. Chan & Eric Eisenstat & Rodney W. Strachan, 2018. "Reducing dimensions in a large TVP-VAR," CAMA Working Papers 2018-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Demosthenes Ioannou & Maria Sole Pagliari & Livio Stracca, 2020. "The international dimension of a fragile EMU," Working papers 795, Banque de France.
- Gabriel Rodriguez & Paul Castillo B. & Junior A. Ojeda Cunya, 2024.
"Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models,"
Open Economies Review, Springer, vol. 35(5), pages 1015-1050, November.
- Junior A. Ojeda Cunya & Gabriel Rodríguez, 2022. "Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR- SV Models," Documentos de Trabajo / Working Papers 2022-507, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Álvaro Jiménez & Gabriel Rodríguez, 2020.
"Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models,"
Documentos de Trabajo / Working Papers
2020-489, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Jiménez, Alvaro & Rodríguez, Gabriel & Ataurima Arellano, Miguel, 2023. "Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models," Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 314-332.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018.
"Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility,"
Working Paper Series
44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Variational inference for large Bayesian vector autoregressions," Papers 2202.12644, arXiv.org, revised Jun 2023.
- Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus, 2019. "Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models," Papers 1912.03100, arXiv.org.
- Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2022.
"Can Volatility Solve the Naive Portfolio Puzzle?,"
Villanova School of Business Department of Economics and Statistics Working Paper Series
52, Villanova School of Business Department of Economics and Statistics.
- Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
- Joshua C. C. Chan, 2024.
"BVARs and stochastic volatility,"
Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67,
Edward Elgar Publishing.
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Zhao, Junming & Zhang, Tianding, 2023. "Exploring the time-varying dependence between Bitcoin and the global stock market: Evidence from a TVP-VAR approach," Finance Research Letters, Elsevier, vol. 58(PA).
- Zhu, Qinwen & Diao, Xundi & Wu, Chongfeng, 2023. "Volatility forecast with the regularity modifications," Finance Research Letters, Elsevier, vol. 58(PA).
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019.
"Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage,"
CAMA Working Papers
2019-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-07, Economic Statistics Centre of Excellence (ESCoE).
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Discussion Papers in Economics 19/05, Division of Economics, School of Business, University of Leicester.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
- Cross, Jamie & Poon, Aubrey, 2016. "Forecasting structural change and fat-tailed events in Australian macroeconomic variables," Economic Modelling, Elsevier, vol. 58(C), pages 34-51.
- Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
- Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
- Bäurle Gregor & Kaufmann Daniel & Kaufmann Sylvia & Strachan Rodney, 2020. "Constrained interest rates and changing dynamics at the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-26, April.
- Bognanni, Mark & Zito, John, 2020. "Sequential Bayesian inference for vector autoregressions with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
- Cao, Guangxi & Xie, Wenhao, 2022. "Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach," Finance Research Letters, Elsevier, vol. 49(C).
- Alexander Meléndez Holguín & Gabriel Rodríguez, 2023. "Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models," Documentos de Trabajo / Working Papers 2023-516, Departamento de Economía - Pontificia Universidad Católica del Perú.
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"Quarterly GDP Estimates for the German States,"
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370, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
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Economics Letters, Elsevier, vol. 171(C), pages 1-5.
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"A Bayesian DSGE Approach to Modelling Cryptocurrency","
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"Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails,"
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"The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?,"
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"Efficient estimation of Bayesian VARMAs with time-varying coefficients,"
CAMA Working Papers
2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
Cited by:
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014.
"Large Bayesian VARMAs,"
Working Paper series
40_14, Rimini Centre for Economic Analysis.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016. "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," SIRE Discussion Papers 2015-06, Scottish Institute for Research in Economics (SIRE).
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014.
"Large Bayesian VARMAs,"
Working Paper series
40_14, Rimini Centre for Economic Analysis.
- Eric Eisenstat & Rodney W. Strachan, 2014.
"Modelling Inflation Volatility,"
CAMA Working Papers
2014-21, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Rodney W. Strachan, 2016. "Modelling Inflation Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 805-820, August.
- Eric Eisenstat & Rodney W. Strachan, 2014. "Modelling Inflation Volatility," CAMA Working Papers 2014-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Rodney Strachan, 2014. "Modelling Inflation Volatility," Working Paper series 43_14, Rimini Centre for Economic Analysis.
Cited by:
- Joshua C.C. Chan & Rodney W. Strachan, 2020.
"Bayesian State Space Models in Macroeconometrics,"
CAMA Working Papers
2020-90, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
- Jonas Dovern & Martin Feldkircher & Florian Huber, 2015.
"Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR,"
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200, Oesterreichische Nationalbank (Austrian Central Bank).
- Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
- Dovern, Jonas & Feldkircher, Martin & Huber , Florian, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 0590, University of Heidelberg, Department of Economics.
- Joshua C.C. Chan, 2015.
"Specification tests for time-varying parameter models with stochastic volatility,"
CAMA Working Papers
2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2018. "Specification tests for time-varying parameter models with stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 807-823, September.
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"Exact Likelihood for Inverse Gamma Stochastic Volatility Models,"
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- Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 23-07, National Graduate Institute for Policy Studies.
- Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
- Wenying Zeng & Songbai Song & Yan Kang & Xuan Gao & Rui Ma, 2022. "Response of Runoff to Meteorological Factors Based on Time-Varying Parameter Vector Autoregressive Model with Stochastic Volatility in Arid and Semi-Arid Area of Weihe River Basin," Sustainability, MDPI, vol. 14(12), pages 1-12, June.
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"Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section,"
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- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Joshua C.C. Chan, 2015.
"The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling,"
CAMA Working Papers
2015-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
- Florian Huber, 2014.
"Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility,"
Department of Economics Working Papers
wuwp179, Vienna University of Economics and Business, Department of Economics.
- Huber, Florian, 2014. "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Paper Series 179, WU Vienna University of Economics and Business.
- Joshua C. C. Chan & Angelia L. Grant, 2016. "On the Observed-Data Deviance Information Criterion for Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 772-802.
- Joshua C.C. Chan & Angelia L. Grant, 2014. "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers 2014-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat, 2018.
"Bayesian model comparison for time‐varying parameter VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
- Joshua C.C. Chan & Eric Eisenstat, 2015. "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers 2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Nonejad Nima, 2015. "Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 561-584, December.
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- Mohammed Anono ZUBAIR & Samuel Olorunfemi ADAMS & Kosarahchi Sarah ANIAGOLU, 2021. "Economic Impact of Some Determinant Factors of Nigerian Inflation Rate," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 5(2), pages 23-41.
- Bruno Ferreira Frascaroli & Wellington Charles Lacerda Nobrega, 2019. "Inflation Targeting and Inflation Risk in Latin America," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(11), pages 2389-2408, September.
- Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
- Fu, Bowen, 2020. "Is the slope of the Phillips curve time-varying? Evidence from unobserved components models," Economic Modelling, Elsevier, vol. 88(C), pages 320-340.
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014.
"Large Bayesian VARMAs,"
Working Papers
1409, University of Strathclyde Business School, Department of Economics.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016. "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper series 40_14, Rimini Centre for Economic Analysis.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," SIRE Discussion Papers 2015-06, Scottish Institute for Research in Economics (SIRE).
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
Cited by:
- Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
- Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019. "Bayesian estimation of large dimensional time varying VARs using copulas," Papers 1912.12527, arXiv.org.
- Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023.
"Bayesian Local Projections,"
Working Papers Series
581, Central Bank of Brazil, Research Department.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," SciencePo Working papers Main hal-03373574, HAL.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," Working Papers hal-03373574, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021. "Bayesian Local Projections," The Warwick Economics Research Paper Series (TWERPS) 1348, University of Warwick, Department of Economics.
- Leonardo N. Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers 2023-04, Center for Research in Economics and Statistics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018.
"Bayesian vector autoregressions,"
Documents de Travail de l'OFCE
2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Working Papers hal-03458277, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
- Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017.
"The transmission of monetary policy shocks,"
Bank of England working papers
657, Bank of England.
- Ricco, Giovanni & Miranda-Agrippino, Silvia, 2018. "The Transmission of Monetary Policy Shocks," CEPR Discussion Papers 13396, C.E.P.R. Discussion Papers.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The Transmission of Monetary Policy Shocks," Economic Research Papers 269310, University of Warwick - Department of Economics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2017. "The transmission of monetary policy shocks," Documents de Travail de l'OFCE 2017-15, Observatoire Francais des Conjonctures Economiques (OFCE).
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "The Transmission of Monetary Policy Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(3), pages 74-107, July.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The transmission of monetary policy shocks," LSE Research Online Documents on Economics 86163, London School of Economics and Political Science, LSE Library.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The Transmission of Monetary Policy Shocks," The Warwick Economics Research Paper Series (TWERPS) 1136, University of Warwick, Department of Economics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2015. "The Transmission of Monetary Policy Shocks," Discussion Papers 1711, Centre for Macroeconomics (CFM), revised Feb 2017.
- Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018.
"Identifying Noise Shocks,"
Working Paper Series
41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Benati, Luca & Chan, Joshua & Eisenstat, Eric & Koop, Gary, 2020. "Identifying noise shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
- Joshua C.C. Chan, 2015.
"Large Bayesian VARs: A flexible Kronecker error covariance structure,"
CAMA Working Papers
2015-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2020. "Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 68-79, January.
- Joshua C. C. Chan, 2019. "Large Bayesian Vector Autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gustavo Fruet Dias & George Kapetanios, 2014.
"Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets,"
CREATES Research Papers
2014-37, Department of Economics and Business Economics, Aarhus University.
- Dias, Gustavo Fruet & Kapetanios, George, 2018. "Estimation and forecasting in vector autoregressive moving average models for rich datasets," Journal of Econometrics, Elsevier, vol. 202(1), pages 75-91.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023.
"High-dimensional conditionally Gaussian state space models with missing data,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
- Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
- Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014.
"Stochastic Model Specification Search for Time-Varying Parameter VARs,"
CAMA Working Papers
2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1638-1665, December.
- Eric Eisenstat & Joshua C.C. Chan & Rodney Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Working Paper series 44_14, Rimini Centre for Economic Analysis.
Cited by:
- Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020.
"Sparse time-varying parameter VECMs with an application to modeling electricity prices,"
Papers
2011.04577, arXiv.org, revised Apr 2023.
- Hauzenberger, Niko & Pfarrhofer, Michael & Rossini, Luca, 2025. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," International Journal of Forecasting, Elsevier, vol. 41(1), pages 361-376.
- Niko Hauzenberger & Florian Huber & Gary Koop, 2020.
"Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods,"
Papers
2005.03906, arXiv.org, revised May 2023.
- Hauzenberger Niko & Huber Florian & Koop Gary, 2024. "Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 201-225, April.
- Niko Hauzenberger & Florian Huber & Gary Koop, "undated". "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Working Papers 2305, University of Strathclyde Business School, Department of Economics.
- Barbara Rossi, 2021.
"Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them,"
Journal of Economic Literature, American Economic Association, vol. 59(4), pages 1135-1190, December.
- Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Barbara Rossi, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Joshua C.C. Chan, 2015.
"Specification tests for time-varying parameter models with stochastic volatility,"
CAMA Working Papers
2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2018. "Specification tests for time-varying parameter models with stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 807-823, September.
- Mike G. Tsionas, 2016. "Alternative Bayesian compression in Vector Autoregressions and related models," Working Papers 216, Bank of Greece.
- Chan, Joshua C.C. & Grant, Angelia L., 2016.
"Fast computation of the deviance information criterion for latent variable models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 847-859.
- Joshua C.C. Chan & Angelia L. Grant, 2014. "Fast Computation of the Deviance Information Criterion for Latent Variable Models," CAMA Working Papers 2014-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dimitris Korobilis, 2014.
"Data-based priors for vector autoregressions with drifting coefficients,"
Working Papers
2014_04, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris, 2014. "Data-based priors for vector autoregressions with drifting coefficients," MPRA Paper 53772, University Library of Munich, Germany.
- Korobilis, Dimitris, 2014. "Data-based priors for vector autoregressions with drifting coefficients," SIRE Discussion Papers 2014-022, Scottish Institute for Research in Economics (SIRE).
- Joshua C. C. Chan, 2019.
"Asymmetric Conjugate Priors for Large Bayesian VARs,"
CAMA Working Papers
2019-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2021. "Asymmetric Conjugate Priors for Large Bayesian VARs," Papers 2111.07170, arXiv.org.
- Joshua C. C. Chan, 2022. "Asymmetric conjugate priors for large Bayesian VARs," Quantitative Economics, Econometric Society, vol. 13(3), pages 1145-1169, July.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016.
"Bayesian Compressed Vector Autoregressions,"
Working Papers
2016_09, Business School - Economics, University of Glasgow.
- Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Bayesian compressed vector autoregressions," Journal of Econometrics, Elsevier, vol. 210(1), pages 135-154.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103R, Brandeis University, Department of Economics and International Business School, revised Apr 2016.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103, Brandeis University, Department of Economics and International Business School.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2017. "Bayesian Compressed Vector Autoregressions," Working Paper series 17-32, Rimini Centre for Economic Analysis.
- Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
- Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2016.
"Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model,"
Department of Economics Working Paper Series
235, WU Vienna University of Economics and Business.
- Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2018. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Working Papers in Economics 2018-5, University of Salzburg.
- Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Papers wuwp235, Vienna University of Economics and Business, Department of Economics.
- Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
- Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018.
"Reducing Dimensions in a Large TVP-VAR,"
Working Paper series
18-37, Rimini Centre for Economic Analysis.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C.C. Chan & Eric Eisenstat & Rodney W. Strachan, 2018. "Reducing dimensions in a large TVP-VAR," CAMA Working Papers 2018-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
- Michael O’Grady, 2019. "Estimating the Output, Inflation and Unemployment Gaps in Ireland using Bayesian Model Averaging," The Economic and Social Review, Economic and Social Studies, vol. 50(1), pages 35-76.
- Sylvia Fruhwirth-Schnatter & Peter Knaus, 2022. "Sparse Bayesian State-Space and Time-Varying Parameter Models," Papers 2207.12147, arXiv.org.
- Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus, 2019. "Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models," Papers 1912.03100, arXiv.org.
- Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
- Reusens Peter & Croux Christophe, 2017. "Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
- Tsai, I-Chun, 2024. "Inter-regional rail travel and housing markets connectedness between London and other regions," Journal of Transport Geography, Elsevier, vol. 121(C).
- Tsai, I-Chun & Chen, Han-Bo & Lin, Che-Chun, 2024. "The ability of energy commodities to hedge the dynamic risk of epidemic black swans," Resources Policy, Elsevier, vol. 89(C).
- Joshua C. C. Chan & Eric Eisenstat, 2018.
"Bayesian model comparison for time‐varying parameter VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
- Joshua C.C. Chan & Eric Eisenstat, 2015. "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers 2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Belomestny, Denis & Krymova, Ekaterina & Polbin, Andrey, 2021. "Bayesian TVP-VARX models with time invariant long-run multipliers," Economic Modelling, Elsevier, vol. 101(C).
- Mike G. Tsionas, 2016. "Alternatives to large VAR, VARMA and multivariate stochastic volatility models," Working Papers 217, Bank of Greece.
- Bitto, Angela & Frühwirth-Schnatter, Sylvia, 2019. "Achieving shrinkage in a time-varying parameter model framework," Journal of Econometrics, Elsevier, vol. 210(1), pages 75-97.
- Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2019. "Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles," Chaos, Solitons & Fractals, Elsevier, vol. 121(C), pages 129-136.
- Emmanuel C. Mamatzakis & Steven Ongena & Mike G. Tsionas, 2023. "The response of household debt to COVID-19 using a neural networks VAR in OECD," Empirical Economics, Springer, vol. 65(1), pages 65-91, July.
- Cross, Jamie, 2019. "On the reduced macroeconomic volatility of the Australian economy: Good policy or good luck?," Economic Modelling, Elsevier, vol. 77(C), pages 174-186.
- Karlsson, Sune & Österholm, Pär, 2018. "Is the US Phillips Curve Stable? Evidence from Bayesian VARs," Working Papers 2018:5, Örebro University, School of Business.
- Annalisa Cadonna & Sylvia Frühwirth-Schnatter & Peter Knaus, 2020. "Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models," Econometrics, MDPI, vol. 8(2), pages 1-36, May.
- Filippo Ferroni & Stefano Grassi & Miguel A. León-Ledesma, 2017. "Selecting Primal Innovations in DSGE models," Working Paper Series WP-2017-20, Federal Reserve Bank of Chicago.
- Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
- Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Assaf, A. George & Tsionas, Mike G., 2019. "Forecasting occupancy rate with Bayesian compression methods," Annals of Tourism Research, Elsevier, vol. 75(C), pages 439-449.
- Filippo Ferroni & Stefano Grassi & Miguel A. Leon-Ledesma, 2015.
"Fundamental shock selection in DSGE models,"
Studies in Economics
1508, School of Economics, University of Kent.
- Stefano Grassi & Miguel Leon-Ledesma & Filippo Ferroni, 2016. "Fundamental shock selection in DSGE models," 2016 Meeting Papers 47, Society for Economic Dynamics.
- Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner, 2024. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2126-2145, September.
- Lopes, Hedibert F. & McCulloch, Robert E. & Tsay, Ruey S., 2022. "Parsimony inducing priors for large scale state–space models," Journal of Econometrics, Elsevier, vol. 230(1), pages 39-61.
- Emna Trabelsi, 2025. "Monetary Policy Under Global and Spillover Uncertainty Shocks: What Do the Bayesian Time-Varying Coefficient VAR, Local Projections, and Vector Error Correction Model Tell Us in Tunisia?," JRFM, MDPI, vol. 18(3), pages 1-74, March.
- Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
- Florian Huber & Gregor Kastner & Martin Feldkircher, 2019.
"Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 621-640, August.
- Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2018. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Working Papers in Economics 2018-5, University of Salzburg.
- Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
- Williams Ohemeng & Elvis Kwame Agyapong & Kenneth Ofori-Boateng, 2021. "Exchange rate and inflation dynamics: does the month or quarter of the year matter?," SN Business & Economics, Springer, vol. 1(6), pages 1-24, June.
- Liu, Junbin & Liu, Xiaoxing & Shi, Guangping, 2019. "What influences portfolio contagion among open-end mutual funds?," Finance Research Letters, Elsevier, vol. 30(C), pages 145-152.
- Phan, Tuan, 2016. "Has Monetary Policy Become More Aggressive, But Less Effective Over Time?," MPRA Paper 107200, University Library of Munich, Germany.
- Joshua C.C. Chan & Eric Eisenstat, 2013.
"Gibbs Samplers for VARMA and Its Extensions,"
ANU Working Papers in Economics and Econometrics
2013-604, Australian National University, College of Business and Economics, School of Economics.
Cited by:
- Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019. "Bayesian estimation of large dimensional time varying VARs using copulas," Papers 1912.12527, arXiv.org.
- Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
- Chan, Joshua & Eisenstat, Eric, 2012.
"Marginal Likelihood Estimation with the Cross-Entropy Method,"
MPRA Paper
40051, University Library of Munich, Germany.
- Joshua C. C. Chan & Eric Eisenstat, 2015. "Marginal Likelihood Estimation with the Cross-Entropy Method," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 256-285, March.
- Joshua C C Chan & Eric Eisenstat, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," CAMA Working Papers 2012-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
Cited by:
- Joshua C.C. Chan & Angelia L. Grant, 2015.
"A Bayesian model comparison for trend-cycle decompositions of output,"
CAMA Working Papers
2015-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Angelia L. Grant & Joshua C.C. Chan, 2017. "A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
- Joshua C. C. Chan, 2022.
"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
Papers
2208.13255, arXiv.org.
- Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Melolinna, Marko & Tóth, Máté, 2019. "Trend and cycle shocks in Bayesian unobserved components models for UK productivity," Bank of England working papers 826, Bank of England.
- Diegel, Max, 2022. "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers 2022/9, Free University Berlin, School of Business & Economics.
- Paulo Chávez & Gabriel Rodríguez, 2023.
"Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 159(2), pages 505-544, May.
- Gabriel Rodríguez & Paulo Chávez, 2022. "Time Changing Effects of External Shocks on Macroeconomic Fluctuations in Peru: Empirical Application Using Regime-Switching VAR Models with Stochastic Volatility," Documentos de Trabajo / Working Papers 2022-509, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Joshua C.C. Chan & Angelia L. Grant, 2016.
"Reconciling output gaps: unobserved components model and Hodrick-Prescott filter,"
CAMA Working Papers
2016-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Grant, Angelia L. & Chan, Joshua C.C., 2017. "Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 114-121.
- Cross, Jamie & Nguyen, Bao H., 2017. "The relationship between global oil price shocks and China's output: A time-varying analysis," Energy Economics, Elsevier, vol. 62(C), pages 79-91.
- Joshua C.C. Chan, 2015.
"Specification tests for time-varying parameter models with stochastic volatility,"
CAMA Working Papers
2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2018. "Specification tests for time-varying parameter models with stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 807-823, September.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022.
"An automated prior robustness analysis in Bayesian model comparison,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "An Automated Prior Robustness Analysis in Bayesian Model Comparison," CAMA Working Papers 2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Anders Warne & Günter Coenen & Kai Christoffel, 2017.
"Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2014. "Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models," CFS Working Paper Series 478, Center for Financial Studies (CFS).
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2020. "On an integer-valued stochastic intensity model for time series of counts," MPRA Paper 105406, University Library of Munich, Germany.
- Chan, Joshua C.C. & Grant, Angelia L., 2016.
"Fast computation of the deviance information criterion for latent variable models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 847-859.
- Joshua C.C. Chan & Angelia L. Grant, 2014. "Fast Computation of the Deviance Information Criterion for Latent Variable Models," CAMA Working Papers 2014-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Bowen Fu, 2019. "Bubbles and crises: Replicating the Anundsen et al. (2016) results," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 822-826, August.
- Gupta, Rangan & Ji, Qiang & Pierdzioch, Christian & Plakandaras, Vasilios, 2023.
"Forecasting the conditional distribution of realized volatility of oil price returns: The role of skewness over 1859 to 2023,"
Finance Research Letters, Elsevier, vol. 58(PC).
- Rangan Gupta & Qiang Ji & Christian Pierdzioch & Vasilios Plakandaras, 2023. "Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness over 1859 to 2023," Working Papers 202318, University of Pretoria, Department of Economics.
- Jean Pierre Fernández Prada Saucedo & Gabriel Rodríguez, 2020. "Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models," Documentos de Trabajo / Working Papers 2020-484, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Rodriguez, Gabriel & Castillo B., Paul & Calero, Roberto & Salcedo Cisneros, Rodrigo & Ataurima Arellano, Miguel, 2024.
"Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models,"
Journal of International Money and Finance, Elsevier, vol. 142(C).
- Roberto Calero & Gabriel Rodríguez & Rodrigo Salcedo Cisneros, 2022. "Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-510, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Gabriel Rodriguez & Paul Castillo B. & Junior A. Ojeda Cunya, 2024.
"Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models,"
Open Economies Review, Springer, vol. 35(5), pages 1015-1050, November.
- Junior A. Ojeda Cunya & Gabriel Rodríguez, 2022. "Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR- SV Models," Documentos de Trabajo / Working Papers 2022-507, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Álvaro Jiménez & Gabriel Rodríguez, 2020.
"Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models,"
Documentos de Trabajo / Working Papers
2020-489, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Jiménez, Alvaro & Rodríguez, Gabriel & Ataurima Arellano, Miguel, 2023. "Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models," Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 314-332.
- Töppel, Jannick & Tränkler, Timm, 2019. "Modeling energy efficiency insurances and energy performance contracts for a quantitative comparison of risk mitigation potential," Energy Economics, Elsevier, vol. 80(C), pages 842-859.
- Fernandes, Mário Correia & Dutra, Tiago Mota & Dias, José Carlos & Teixeira, João C.A., 2023. "Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1046-1058.
- Liangliang Zhou & Yishao Shi & Xiangyang Cao, 2019. "Evaluation of Land Intensive Use in Shanghai Pilot Free Trade Zone," Land, MDPI, vol. 8(6), pages 1-16, May.
- Alexander Meléndez Holguín & Gabriel Rodríguez, 2023. "Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models," Documentos de Trabajo / Working Papers 2023-516, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Jiang, Yong & Ren, Yi-Shuai & Ma, Chao-Qun & Liu, Jiang-Long & Sharp, Basil, 2020. "Does the price of strategic commodities respond to U.S. partisan conflict?," Resources Policy, Elsevier, vol. 66(C).
- Joshua C. C. Chan & Eric Eisenstat, 2018.
"Bayesian model comparison for time‐varying parameter VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
- Joshua C.C. Chan & Eric Eisenstat, 2015. "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers 2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hajargasht, Gholamreza & Rao, D.S. Prasada, 2019.
"Multilateral index number systems for international price comparisons: Properties, existence and uniqueness,"
Journal of Mathematical Economics, Elsevier, vol. 83(C), pages 36-47.
- Gholamreza Hajargasht & D.S. Prasada Rao, 2019. "Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness," CEPA Working Papers Series WP032019, School of Economics, University of Queensland, Australia.
- Gholamreza Hajargasht & Prasada Rao, 2018. "Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness," Papers 1811.04197, arXiv.org, revised Dec 2018.
- Chan, Joshua C.C. & Eisenstat, Eric, 2018.
"Comparing hybrid time-varying parameter VARs,"
Economics Letters, Elsevier, vol. 171(C), pages 1-5.
- Joshua C.C. Chan & Eric Eisenstat, 2018. "Comparing hybrid time-varying parameter VARs," CAMA Working Papers 2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua Chan & Eric Eisenstat & Xuewen Yu, 2022. "Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis," Papers 2207.03988, arXiv.org.
- Jiang, Yong & Zhou, Zhongbao & Liu, Qing & Lin, Ling & Xiao, Helu, 2020. "How do oil price shocks affect the output volatility of the U.S. energy mining industry? The roles of structural oil price shocks," Energy Economics, Elsevier, vol. 87(C).
- Angelia L. Grant, 2017. "The Early Millennium Slowdown: Replicating the Peersman (2005) Results," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 224-232, January.
- Afees A. Salisu & Ahamuefula Ephraim Ogbonna, 2018. "Does time-variation matter in the stochastic volatility components for G7 stock returns," Working Papers 062, Centre for Econometric and Allied Research, University of Ibadan.
- Pérez Rojo, Flavio & Rodríguez, Gabriel, 2024. "Impact of monetary policy shocks in the Peruvian economy over time," Structural Change and Economic Dynamics, Elsevier, vol. 71(C), pages 270-288.
- Karlsson, Sune & Österholm, Pär, 2018. "Is the US Phillips Curve Stable? Evidence from Bayesian VARs," Working Papers 2018:5, Örebro University, School of Business.
- Sahar Abbas & Fahimeh Moosavi, 2012. "Finding shortest path in static networks: using a modified algorithm," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 1(1), pages 29-34, January.
- Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.
- Joshua C.C. Chan & Angelia L. Grant, 2015.
"Modeling energy price dynamics: GARCH versus stochastic volatility,"
CAMA Working Papers
2015-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Grant, Angelia L., 2016. "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, vol. 54(C), pages 182-189.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.
- Rangan Gupta & Hardik A. Marfatia & Christian Pierdzioch & Afees A. Salisu, 2020.
"Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty,"
Working Papers
202077, University of Pretoria, Department of Economics.
- Rangan Gupta & Hardik A. Marfatia & Christian Pierdzioch & Afees A. Salisu, 2022. "Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty," The Journal of Real Estate Finance and Economics, Springer, vol. 64(4), pages 523-545, May.
- Mauricio Alvarado & Gabriel Rodríguez, 2024. "Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru," Documentos de Trabajo / Working Papers 2024-531, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Flavio Pérez Rojo & Gabriel Rodríguez, 2023. "Jane Haldimand Marcet: Impact of Monetary Policy Shocks in the Peruvian Economy Over Time," Documentos de Trabajo / Working Papers 2023-523, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Kazuhiko Kakamu, 2025. "On the Use of the Harmonic Mean Estimator for Selecting the Hypothetical Income Distribution from Grouped Data," JRFM, MDPI, vol. 18(2), pages 1-16, February.
- Baltuttis, Dennik & Töppel, Jannick & Tränkler, Timm & Wiethe, Christian, 2020. "Managing the risks of energy efficiency insurances in a portfolio context: An actuarial diversification approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
- Rodríguez, Gabriel & Vassallo, Renato & Castillo B., Paul, 2023. "Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries," Economic Modelling, Elsevier, vol. 124(C).
- Lu Yang & Shigeyuki Hamori, 2018. "Modeling The Dynamics Of International Agricultural Commodity Prices: A Comparison Of Garch And Stochastic Volatility Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-20, September.
- Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.
- Yong Jiang & Yi-Shuai Ren & Chao-Qun Ma & Jiang-Long Liu & Basil Sharp, 2018. "Does the price of strategic commodities respond to U.S. Partisan Conflict?," Papers 1810.08396, arXiv.org, revised Feb 2020.
- Mário Correia Fernandes & José Carlos Dias & João Pedro Vidal Nunes, 2024. "Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 343-383, March.
- Tomáš Jeřábek & Radka Šperková, 2015. "A Predictive Likelihood Approach to Bayesian Averaging," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1269-1276.
- Dante A. Urbina & Gabriel Rodríguez, 2023. "Evolution of the effects of mineral commodity prices on fiscal fluctuations: empirical evidence from TVP-VAR-SV models for Peru," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 159(1), pages 153-184, February.
Articles
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
See citations under working paper version above.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Benati, Luca & Chan, Joshua & Eisenstat, Eric & Koop, Gary, 2020.
"Identifying noise shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
See citations under working paper version above.
- Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018. "Identifying Noise Shocks," Working Paper Series 41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020.
"Reducing the state space dimension in a large TVP-VAR,"
Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
Cited by:
- Song, Ying & Bouri, Elie & Ghosh, Sajal & Kanjilal, Kakali, 2021. "Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak," Resources Policy, Elsevier, vol. 74(C).
- Joshua C. C. Chan, 2022.
"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
Papers
2208.13255, arXiv.org.
- Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
- Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
- Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
- Joshua C.C. Chan & Rodney W. Strachan, 2020.
"Bayesian State Space Models in Macroeconometrics,"
CAMA Working Papers
2020-90, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
- Niko Hauzenberger & Florian Huber & Gary Koop, 2020.
"Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods,"
Papers
2005.03906, arXiv.org, revised May 2023.
- Hauzenberger Niko & Huber Florian & Koop Gary, 2024. "Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 201-225, April.
- Niko Hauzenberger & Florian Huber & Gary Koop, "undated". "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Working Papers 2305, University of Strathclyde Business School, Department of Economics.
- Mertens, Elmar, 2023.
"Precision-based sampling for state space models that have no measurement error,"
Discussion Papers
25/2023, Deutsche Bundesbank.
- Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
- Joshua C.C. Chan & Xuewen Yu, 2020.
"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
CAMA Working Papers
2020-108, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
- Joshua C. C. Chan, 2019.
"Asymmetric Conjugate Priors for Large Bayesian VARs,"
CAMA Working Papers
2019-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2021. "Asymmetric Conjugate Priors for Large Bayesian VARs," Papers 2111.07170, arXiv.org.
- Joshua C. C. Chan, 2022. "Asymmetric conjugate priors for large Bayesian VARs," Quantitative Economics, Econometric Society, vol. 13(3), pages 1145-1169, July.
- Li, Shaoyu & Zhu, Chunhui & Shang, Yuhuang, 2023. "Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 170-185.
- Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2020.
"Bayesian Modelling of TVP-VARs Using Regression Trees,"
Working Papers
2308, University of Strathclyde Business School, Department of Economics, revised Aug 2023.
- Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2022. "Bayesian Modeling of TVP-VARs Using Regression Trees," Papers 2209.11970, arXiv.org, revised May 2023.
- Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
- Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023.
"Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework,"
Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2022. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Post-Print hal-04478741, HAL.
- Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
- Joshua C. C. Chan, 2024.
"BVARs and stochastic volatility,"
Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67,
Edward Elgar Publishing.
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Lewis N.K. Mambo, 2024. "From Multidimensional Ornstein - Uhlenbeck Process to Bayesian Vector Autoregressive Process," Journal of Mathematics Research, Canadian Center of Science and Education, vol. 15(1), pages 1-32, December.
- Li, Xixi & Yuan, Jingsong, 2024. "DeepTVAR: Deep learning for a time-varying VAR model with extension to integrated VAR," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1123-1133.
- Zheng, Tingguo & Ye, Shiqi & Hong, Yongmiao, 2023. "Fast estimation of a large TVP-VAR model with score-driven volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
- Ding, Shusheng & Wang, Kaihao & Cui, Tianxiang & Du, Min, 2023. "The time-varying impact of geopolitical risk on natural resource prices: The post-COVID era evidence," Resources Policy, Elsevier, vol. 86(PB).
- Florian Huber & Gregor Kastner & Michael Pfarrhofer, 2018.
"Introducing shrinkage in heavy-tailed state space models to predict equity excess returns,"
Papers
1805.12217, arXiv.org, revised Jul 2019.
- Florian Huber & Gregor Kastner & Michael Pfarrhofer, 2025. "Introducing shrinkage in heavy-tailed state space models to predict equity excess returns," Empirical Economics, Springer, vol. 68(2), pages 535-553, February.
- Gideon du Rand & Hylton Hollander & Dawie van Lill, 2023. "Time-varying fiscal multipliers for South Africa: A large time-varying parameter vector autoregression approach," WIDER Working Paper Series wp-2023-106, World Institute for Development Economic Research (UNU-WIDER).
- Tsai, I-Chun, 2024. "Inter-regional rail travel and housing markets connectedness between London and other regions," Journal of Transport Geography, Elsevier, vol. 121(C).
- Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023.
"Real-time inflation forecasting using non-linear dimension reduction techniques,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
- Niko Hauzenberger & Florian Huber & Karin Klieber, 2020. "Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques," Papers 2012.08155, arXiv.org, revised Dec 2021.
- Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
- Belomestny, Denis & Krymova, Ekaterina & Polbin, Andrey, 2021. "Bayesian TVP-VARX models with time invariant long-run multipliers," Economic Modelling, Elsevier, vol. 101(C).
- Kenwin Maung, 2021. "Estimating high-dimensional Markov-switching VARs," Papers 2107.12552, arXiv.org.
- KANAZAWA, Nobuyuki & 金澤, 伸幸, 2018.
"Radial Basis Functions Neural Networks for Nonlinear Time Series Analysis and Time-Varying Effects of Supply Shocks,"
Discussion paper series
HIAS-E-64, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Kanazawa, Nobuyuki, 2020. "Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks," Journal of Macroeconomics, Elsevier, vol. 64(C).
- Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.
- Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024.
"The Time-Varying Multivariate Autoregressive Index Model,"
CEIS Research Paper
571, Tor Vergata University, CEIS, revised 10 Jan 2024.
- G. Cubadda & S. Grassi & B. Guardabascio, 2022. "The Time-Varying Multivariate Autoregressive Index Model," Papers 2201.07069, arXiv.org.
- Cubadda, Gianluca & Grassi, Stefano & Guardabascio, Barbara, 2025. "The time-varying Multivariate Autoregressive Index model," International Journal of Forecasting, Elsevier, vol. 41(1), pages 175-190.
- Svetunkov, Ivan & Chen, Huijing & Boylan, John E., 2023. "A new taxonomy for vector exponential smoothing and its application to seasonal time series," European Journal of Operational Research, Elsevier, vol. 304(3), pages 964-980.
- Hauber, Philipp & Schumacher, Christian, 2021. "Precision-based sampling with missing observations: A factor model application," Discussion Papers 11/2021, Deutsche Bundesbank.
- Xu Gong & Yujing Jin & Chuanwang Sun, 2022. "Time‐varying pure contagion effect between energy and nonenergy commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1960-1986, October.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2024. "A Quantile Nelson-Siegel model," Papers 2401.09874, arXiv.org.
- Jeanne Terblanche & Dawie van Lill & Hylton Hollander, 2024.
"Fiscal policy and dimensions of inequality in South Africa: A time‐varying coefficient approach,"
South African Journal of Economics, Economic Society of South Africa, vol. 92(1), pages 105-119, March.
- Jeanne Terblanche & Dawie van Lill & Hylton Hollander, 2023. "Fiscal policy and dimensions of inequality in South Africa: A time-varying coefficient approach," Working Papers 05/2023, Stellenbosch University, Department of Economics.
- Jozef Barunik & Michael Ellington, 2020. "Dynamic Network Risk," Papers 2006.04639, arXiv.org, revised Jul 2020.
- Giacomo Rella, 2021. "The Fed, housing and household debt over time," Department of Economics University of Siena 850, Department of Economics, University of Siena.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022.
"Bayesian Forecasting in Economics and Finance: A Modern Review,"
Papers
2212.03471, arXiv.org, revised Jul 2023.
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- Gorgi, Paolo & Koopman, Siem Jan & Schaumburg, Julia, 2024. "Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 244(2).
- Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
- Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021.
"On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty,"
Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
- Niko Hauzenberger & Michael Pfarrhofer & Anna Stelzer, 2020. "On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty," Papers 2011.14424, arXiv.org.
- Xu, Danyang & Hu, Yang & Corbet, Shaen & Lang, Chunlin, 2024. "Return connectedness of green bonds and financial investment channels in China: Implications for hedging and regulation," Research in International Business and Finance, Elsevier, vol. 70(PA).
- Vasilii Erokhin & Tianming Gao, 2020. "Impacts of COVID-19 on Trade and Economic Aspects of Food Security: Evidence from 45 Developing Countries," IJERPH, MDPI, vol. 17(16), pages 1-28, August.
- Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2023. "General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 69-87, January.
- Chan, Joshua C.C. & Eisenstat, Eric, 2018.
"Comparing hybrid time-varying parameter VARs,"
Economics Letters, Elsevier, vol. 171(C), pages 1-5.
See citations under working paper version above.
- Joshua C.C. Chan & Eric Eisenstat, 2018. "Comparing hybrid time-varying parameter VARs," CAMA Working Papers 2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat, 2018.
"Bayesian model comparison for time‐varying parameter VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
See citations under working paper version above.
- Joshua C.C. Chan & Eric Eisenstat, 2015. "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers 2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Eric Eisenstat, 2017.
"Efficient estimation of Bayesian VARMAs with time†varying coefficients,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1277-1297, November.
Cited by:
- Mehmet Balcilar & Edmond Berisha & Oguzhan Cepni & Rangan Gupta, 2019.
"The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis,"
Working Papers
201981, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Edmond Berisha & Oğuzhan Çepni & Rangan Gupta, 2022. "The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1979-1988, April.
- Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018.
"Identifying Noise Shocks,"
Working Paper Series
41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Benati, Luca & Chan, Joshua & Eisenstat, Eric & Koop, Gary, 2020. "Identifying noise shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Oguzhan Cepni & David Gabauer & Rangan Gupta & Khuliso Ramabulana, 2020. "Time-Varying Spillover of US Trade War on the Growth of Emerging Economies," Working Papers 202002, University of Pretoria, Department of Economics.
- Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
- Osman Doğan & Süleyman Taşpınar & Anil K. Bera, 2021. "Bayesian estimation of stochastic tail index from high-frequency financial data," Empirical Economics, Springer, vol. 61(5), pages 2685-2711, November.
- Mehmet Balcilar & Edmond Berisha & Oguzhan Cepni & Rangan Gupta, 2019.
"The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis,"
Working Papers
201981, University of Pretoria, Department of Economics.
- Eric Eisenstat & Rodney W. Strachan, 2016.
"Modelling Inflation Volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 805-820, August.
See citations under working paper version above.
- Eric Eisenstat & Rodney W. Strachan, 2014. "Modelling Inflation Volatility," CAMA Working Papers 2014-21, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Rodney W. Strachan, 2014. "Modelling Inflation Volatility," CAMA Working Papers 2014-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Rodney Strachan, 2014. "Modelling Inflation Volatility," Working Paper series 43_14, Rimini Centre for Economic Analysis.
- Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016.
"Stochastic Model Specification Search for Time-Varying Parameter VARs,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1638-1665, December.
See citations under working paper version above.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Joshua C.C. Chan & Rodney Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Working Paper series 44_14, Rimini Centre for Economic Analysis.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016.
"Large Bayesian VARMAs,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
See citations under working paper version above.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper series 40_14, Rimini Centre for Economic Analysis.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," SIRE Discussion Papers 2015-06, Scottish Institute for Research in Economics (SIRE).
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- Joshua C. C. Chan & Eric Eisenstat, 2015.
"Marginal Likelihood Estimation with the Cross-Entropy Method,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 256-285, March.
See citations under working paper version above.
- Joshua C C Chan & Eric Eisenstat, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," CAMA Working Papers 2012-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua & Eisenstat, Eric, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper 40051, University Library of Munich, Germany.