My JEL codes
Follow this JEL code
Research classified by Journal of Economic Literature (JEL) codes
Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C11: Bayesian Analysis: General
This JEL code is mentioned in the following RePEc Biblio entries:
This topic is covered by the following reading lists:
2022
- Pablo Garcia, 2022. "Learning, Uncertainty and Monetary Policy," Annals of Economics and Statistics, GENES, issue 145, pages 5-28.
- Christian Gourieroux & Joann Jasiak, 2022. "Long Run Predictions," Annals of Economics and Statistics, GENES, issue 145, pages 75-90.
- Jeffrey Mensch, 2022. "Screening Inattentive Buyers," American Economic Review, American Economic Association, vol. 112(6), pages 1949-1984, June.
- Tomá? Karel & Petr Mazouch & Jakub Fischer, 2022. "The economic impact of false positivity of COVID-19 PCR testing in the Czech Republic," International Journal of Economic Sciences, European Research Center, vol. 11(1), pages 37-46, April.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
CEPR Discussion Papers
17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Papers 2201.05556, arXiv.org.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Joshua C.C. Chan, 2019.
"Large hybrid time-varying parameter VARs,"
CAMA Working Papers
2019-77, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2022. "Large Hybrid Time-Varying Parameter VARs," Papers 2201.07303, arXiv.org, revised Jun 2022.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022.
"Forecasting US Inflation Using Bayesian Nonparametric Models,"
Working Papers
22-05, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Papers 2202.13793, arXiv.org.
- Lhuissier Stéphane, 2022. "Financial Conditions and Macroeconomic Downside Risks in the Euro Area," Working papers 863, Banque de France.
- Robin Braun & Ralf Brüggemann, 2017.
"Identification of SVAR Models by Combining Sign Restrictions With External Instruments,"
Working Paper Series of the Department of Economics, University of Konstanz
2017-07, Department of Economics, University of Konstanz.
- Braun, Robin & Brüggemann, Ralf, 2022. "Identification of SVAR models by combining sign restrictions with external instruments," Bank of England working papers 961, Bank of England.
- Takushi Kurozumi & Ryohei Oishi, 2022. "A Comparison of Japanese and US New Keynesian Phillips Curves with Bayesian VAR-GMM," Bank of Japan Working Paper Series 22-E-3, Bank of Japan.
- Gregor Boehl & Felix Strobel, 2022. "The Empirical Performance of Financial Frictions since 2008," CRC TR 224 Discussion Paper Series crctr224_2022_353, University of Bonn and University of Mannheim, Germany.
- Gregor Boehl, 2022. "Ensemble MCMC Sampling for DSGE Models," CRC TR 224 Discussion Paper Series crctr224_2022_355, University of Bonn and University of Mannheim, Germany.
- Gregor Boehl, Felix Strobel, 2022. "Estimation of DSGE Models With the Effective Lower Bound," CRC TR 224 Discussion Paper Series crctr224_2022_356, University of Bonn and University of Mannheim, Germany.
- Sara Boni & Francesco Ravazzolo, 2022. "A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry," BEMPS - Bozen Economics & Management Paper Series BEMPS94, Faculty of Economics and Management at the Free University of Bozen.
- Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2022.
"Bayesian Estimation of Multivariate Panel Probits with Higher-order Network Interdependence and an Application to Firms' Global Market Participation in Guangdong,"
Center for Policy Research Working Papers
247, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2022. "Bayesian Estimation of Multivariate Panel Probits with Higher-Order Network Interdependence and an Application to Firms' Global Market Participation in Guangdong," CESifo Working Paper Series 9579, CESifo.
- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021.
"Macroeconomic Forecasting in a Multi-country Context,"
Working Papers
22-02, Federal Reserve Bank of Cleveland.
- Bai, Yu & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022. "Macroeconomic Forecasting in a Multi-country Context," CEPR Discussion Papers 16994, C.E.P.R. Discussion Papers.
- Mlikota, Marko & Schorfheide, Frank, 2022. "Sequential Monte Carlo With Model Tempering," CEPR Discussion Papers 17035, C.E.P.R. Discussion Papers.
- Chang, Minsu & Schorfheide, Frank, 2022. "On the Effects of Monetary Policy Shocks on Earnings and Consumption Heterogeneity," CEPR Discussion Papers 17049, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
Papers
2201.05556, arXiv.org.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," CEPR Discussion Papers 17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Kase, Hanno & Melosi, Leonardo & Rottner, Matthias, 2022. "Estimating Nonlinear Heterogeneous Agents Models with Neural Networks," CEPR Discussion Papers 17391, C.E.P.R. Discussion Papers.
- Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2022. "Optimal Monetary Policy Rules in the Fiscal Theory of the Price Level," LIDAM Discussion Papers IRES 2022007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Huang, Jing-Zhi & Ni, Jun & Xu, Li, 2022. "Leverage effect in cryptocurrency markets," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
- Ahelegbey, Daniel Felix & Giudici, Paolo, 2022.
"NetVIX — A network volatility index of financial markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
- Daniel Felix Ahelegbey & Paolo Giudici, 2020. "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series 192, University of Pavia, Department of Economics and Management.
- Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
- Tachibana, Minoru, 2022. "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, vol. 60(C).
- Tsionas, Mike G., 2022. "Random and Markov switching exponential smoothing models," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
- Savin, Ivan & Ott, Ingrid & Konop, Chris, 2022.
"Tracing the evolution of service robotics: Insights from a topic modeling approach,"
Technological Forecasting and Social Change, Elsevier, vol. 174(C).
- Ott, Ingrid & Savin, Ivan & Konop, Chris, 2021. "Tracing the evolution of service robotics: Insights from a topic modeling approach," Kiel Working Papers 2180, Kiel Institute for the World Economy (IfW Kiel).
- Henderson, Heath & Follett, Lendie, 2022. "Targeting social safety net programs on human capabilities," World Development, Elsevier, vol. 151(C).
- Yunjong Eo & Luis Uzeda & Benjamin Wong, 2020.
"Understanding Trend Inflation Through the Lens of the Goods and Services Sectors,"
Staff Working Papers
20-45, Bank of Canada.
- Yunjong Eo & Luis Uzeda & Benjamin Wong, 2022. "Understanding trend inflation through the lens of the goods and services sectors," CAMA Working Papers 2022-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giuseppe De Luca & Jan Magnus & Franco Peracchi, 2022.
"Asymptotic properties of the weighted average least squares (WALS) estimator,"
Tinbergen Institute Discussion Papers
22-022/III, Tinbergen Institute.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2022. "Asymptotic properties of the weighted-average least squares (WALS) estimator," EIEF Working Papers Series 2203, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2022.
- Ina Hajdini, 2022. "Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model," Working Papers 22-03, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022.
"Forecasting US Inflation Using Bayesian Nonparametric Models,"
Papers
2202.13793, arXiv.org.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Working Papers 22-05, Federal Reserve Bank of Cleveland.
- Michael T. Kiley, 2022. "Anchored or Not: How Much Information Does 21st Century Data Contain on Inflation Dynamics?," Finance and Economics Discussion Series 2022-016, Board of Governors of the Federal Reserve System (U.S.).
- Kirstin Hubrich & Daniel F. Waggoner, 2022. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework," Finance and Economics Discussion Series 2022-034, Board of Governors of the Federal Reserve System (U.S.).
- Padma Sharma, 2022. "Assessing Regulatory Responses to Banking Crises," Research Working Paper RWP 22-04, Federal Reserve Bank of Kansas City.
- Elie Ndemba Tshilambu, 2022. "Politique budgétaire, Investissement privé et performance macroéconomique en République démocratique du Congo ," Post-Print hal-03627267, HAL.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
CEPR Discussion Papers
17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Papers 2201.05556, arXiv.org.
- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022. "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-013/III, Tinbergen Institute.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2022.
"Asymptotic properties of the weighted-average least squares (WALS) estimator,"
EIEF Working Papers Series
2203, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2022.
- Giuseppe De Luca & Jan Magnus & Franco Peracchi, 2022. "Asymptotic properties of the weighted average least squares (WALS) estimator," Tinbergen Institute Discussion Papers 22-022/III, Tinbergen Institute.
- Mike Gilraine & Jiaying Gu & Robert McMillan, 2022. "A Nonparametric Approach for Studying Teacher Impacts," Working Papers tecipa-716, University of Toronto, Department of Economics.
- Chih-Sheng Hsieh & Michael D. Konig & Xiaodong Liu, 2022.
"A Structural Model for the Coevolution of Networks and Behavior,"
The Review of Economics and Statistics, MIT Press, vol. 104(2), pages 355-367, May.
- Hsieh, Chih-Sheng & König, Michael & Liu, Xiaodong, 2019. "A Structural Model for the Coevolution of Networks and Behavior," CEPR Discussion Papers 13911, C.E.P.R. Discussion Papers.
- Décamps, Jean-Paul & Villeneuve, Stéphane, 2022. "Learning about profitability and dynamic cash management," TSE Working Papers 22-1301, Toulouse School of Economics (TSE).
- Malin Gardberg & Lorenzo Pozzi, 2022.
"Aggregate consumption and wealth in the long run: The impact of financial liberalization,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 161-186, January.
- Gardberg, Malin, 2020. "Aggregate Consumption and Wealth in the Long Run: The Impact of Financial Liberalization," Working Paper Series 1339, Research Institute of Industrial Economics.
- Martijn van Hasselt & Christopher R. Bollinger & Jeremy W. Bray, 2022.
"A Bayesian approach to account for misclassification in prevalence and trend estimation,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 351-367, March.
- van Hasselt, Martijn & Bollinger, Christopher & Bray, Jeremy, 2019. "A Bayesian Approach to Account for Misclassification in Prevalence and Trend Estimation," UNCG Economics Working Papers 19-13, University of North Carolina at Greensboro, Department of Economics.
- 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.
- Martin Mandler & Michael Scharnagl & Ute Volz, 2022.
"Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 627-649, March.
- Mandler, Martin & Scharnagl, Michael & Volz, Ute, 2016. "Heterogeneity in euro-area monetary policy transmission: Results from a large multi-country BVAR model," Discussion Papers 03/2016, Deutsche Bundesbank.
- Scharnagl, Michael & Mandler, Martin & Volz, Ute, 2016. "Heterogeneity in euro area monetary policy transmission: results from a large multi-country BVAR model," VfS Annual Conference 2016 (Augsburg): Demographic Change 145847, Verein für Socialpolitik / German Economic Association.
- Neville Francis & Michael T. Owyang & Daniel Soques, 2022.
"Business Cycles across Space and Time,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 921-952, June.
- Neville Francis & Michael T. Owyang & Daniel Soques, 2019. "Business Cycles Across Space and Time," Working Papers 2019-010, Federal Reserve Bank of St. Louis, revised 05 May 2021.
- Hauber, Philipp, 2022. "Real-time nowcasting with sparse factor models," EconStor Preprints 251551, ZBW - Leibniz Information Centre for Economics.
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022. "Modelling Okun’s Law – Does non-Gaussianity Matter?," Working Papers 2022:1, Örebro University, School of Business.
- Österholm, Pär & Poon, Aubrey, 2022. "Trend Inflation in Sweden," Working Papers 2022:2, Örebro University, School of Business.
- Stefán Thórarinsson, 2022. "Analysing inflation dynamics in Iceland using a Bayesian structural vector autoregression model," Economics wp88, Department of Economics, Central bank of Iceland.
- Manabu Asai & Michael McAleer, 2022.
"Bayesian Analysis of Realized Matrix-Exponential GARCH Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 103-123, January.
- Asai, M. & McAleer, M.J., 2018. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Econometric Institute Research Papers 2018-005/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer, 2018. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Tinbergen Institute Discussion Papers 18-005/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2018. "Bayesian analysis of realized matrix-exponential GARCH models," Documentos de Trabajo del ICAE 2018-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Francesco Bianchi & Lorenzo Mercuri & Edit Rroji, 2022. "Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 57-85, March.
- Dorinth W. Dijk & David M. Geltner & Alex M. Minne, 2022. "The Dynamics of Liquidity in Commercial Property Markets: Revisiting Supply and Demand Indexes in Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 64(3), pages 327-360, April.
- Paul Carrillo-Maldonado & Michalis Nikiforos, 2022. "Estimating a Time-Varying Distribution-Led Regime," Economics Working Paper Archive wp_1001, Levy Economics Institute.
- Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2022.
"Bayesian Estimation of Multivariate Panel Probits with Higher-Order Network Interdependence and an Application to Firms' Global Market Participation in Guangdong,"
CESifo Working Paper Series
9579, CESifo.
- Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2022. "Bayesian Estimation of Multivariate Panel Probits with Higher-order Network Interdependence and an Application to Firms' Global Market Participation in Guangdong," Center for Policy Research Working Papers 247, Center for Policy Research, Maxwell School, Syracuse University.
- William Gatt & Germano Ruisi, 2022. "The spillover of euro area shocks to the Maltese economy," CBM Working Papers WP/03/2022, Central Bank of Malta.
- Davis, John B., 2022. "Keynes's Treatise on Probability 100 Years Later: Small vs. large worlds and closed vs. open systems," Working Papers and Research 2022-02, Marquette University, Center for Global and Economic Studies and Department of Economics.
- Morita, Hiroshi, 2022. "On the relationship between fiscal multipliers and population aging in Japan: Theory and empirics," Economic Modelling, Elsevier, vol. 108(C).
- Audzei, Volha & Brůha, Jan, 2022.
"A model of the Euro area, China, and the United States: Trade links and trade wars,"
Economic Modelling, Elsevier, vol. 111(C).
- Volha Audzei & Jan Bruha, 2020. "A Model of the Euro Area, China and the United States: Trade Links and Trade Wars," Working Papers 2020/6, Czech National Bank.
- Batini, Nicoletta & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni & Waldron, Anthony, 2022.
"Building back better: How big are green spending multipliers?,"
Ecological Economics, Elsevier, vol. 193(C).
- Nicoletta Batini & Mr. Giovanni Melina & Mario di Serio & Matteo Fragetta, 2021. "Building Back Better: How Big Are Green Spending Multipliers?," IMF Working Papers 2021/087, International Monetary Fund.
- Bognanni, Mark, 2022. "Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”," Journal of Econometrics, Elsevier, vol. 227(2), pages 498-505.
- Gallant, A. Ronald, 2022. "Nonparametric Bayes subject to overidentified moment conditions," Journal of Econometrics, Elsevier, vol. 228(1), pages 27-38.
- Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
- Gallant, A. Ronald & Hong, Han & Leung, Michael P. & Li, Jessie, 2022. "Constrained estimation using penalization and MCMC," Journal of Econometrics, Elsevier, vol. 228(1), pages 85-106.
- Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
- Wan, Runqing & Fulop, Andras & Li, Junye, 2022. "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, vol. 230(1), pages 114-130.
- Ando, Tomohiro & Bai, Jushan & Li, Kunpeng, 2022. "Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 230(1), pages 20-38.
- Fan, Jianqing & Jiang, Bai & Sun, Qiang, 2022. "Bayesian factor-adjusted sparse regression," Journal of Econometrics, Elsevier, vol. 230(1), pages 3-19.
- Liu, Xiaobin & Li, Yong & Yu, Jun & Zeng, Tao, 2022. "Posterior-based Wald-type statistics for hypothesis testing," Journal of Econometrics, Elsevier, vol. 230(1), pages 83-113.
- Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
- Lhuissier, Stéphane, 2022. "Financial conditions and macroeconomic downside risks in the euro area," European Economic Review, Elsevier, vol. 143(C).
- Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022.
"Modeling risk contagion in the Italian zonal electricity market,"
European Journal of Operational Research, Elsevier, vol. 298(2), pages 656-679.
- Daniel Felix Ahelegbey & Emmanuel Senyo Fianu & Luigi Grossi, 2020. "Modeling Risk Contagion in the Italian Zonal Electricity Market," DEM Working Papers Series 182, University of Pavia, Department of Economics and Management.
- Ulm, M. & Hambuckers, J., 2022. "Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 125-148.
- Kim, Jaeho & Linn, Scott C., 2022. "Price discovery under model uncertainty," Energy Economics, Elsevier, vol. 107(C).
- Frondel, Manuel & Kaeding, Matthias & Sommer, Stephan, 2022. "Market premia for renewables in Germany: The effect on electricity prices," Energy Economics, Elsevier, vol. 109(C).
- Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022.
"Predicting returns and dividend growth — The role of non-Gaussian innovations,"
Finance Research Letters, Elsevier, vol. 46(PA).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
- Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
- Gächter, Martin & Huber, Florian & Meier, Martin, 2022. "A shot for the US economy," Finance Research Letters, Elsevier, vol. 47(PA).
- Yan, Yujie & Song, Kai-Sheng, 2022. "A general optimal approach to Bühlmann credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 104(C), pages 262-282.
- Gómez-Déniz, Emilio & Vázquez-Polo, Francisco J., 2022. "Exact credibility reference Bayesian premiums," Insurance: Mathematics and Economics, Elsevier, vol. 105(C), pages 128-143.
- Boratyńska, Agata & Zielińska-Kolasińska, Zofia, 2022. "Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves," Insurance: Mathematics and Economics, Elsevier, vol. 105(C), pages 194-202.
- Ang, Zi Qing & Lee, See Keong, 2022. "Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels," Insurance: Mathematics and Economics, Elsevier, vol. 105(C), pages 54-63.
- Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
- Casalis, André & Krustev, Georgi, 2022.
"Cyclical drivers of euro area consumption: What can we learn from durable goods?,"
Journal of International Money and Finance, Elsevier, vol. 120(C).
- Krustev, Georgi & Casalis, André, 2020. "Cyclical drivers of euro area consumption: what can we learn from durable goods?," Working Paper Series 2386, European Central Bank.
- Ductor, Lorenzo & Leiva-León, Danilo, 2022. "Fluctuations in global output volatility," Journal of International Money and Finance, Elsevier, vol. 120(C).
- Elias, Christopher J., 2022. "Adaptive learning with heterogeneous expectations in an estimated medium-scale New Keynesian model," Journal of Macroeconomics, Elsevier, vol. 71(C).
- Germaschewski, Yin & Wang, Shu-Ling, 2022. "Fiscal stabilization in high-debt economies without monetary independence," Journal of Macroeconomics, Elsevier, vol. 72(C).
- Frederico Finan & Demian Pouzo, 2022. "Reinforcing RCTs with Multiple Priors while Learning about External Validity," NBER Working Papers 29756, National Bureau of Economic Research, Inc.
- Owen F. Davis, 2022. "Fundamental Uncertainty as Model Uncertainty," Working Papers 2207, New School for Social Research, Department of Economics.
- Bhattacharjee, Arnab & Kohns, David, 2022. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," National Institute of Economic and Social Research (NIESR) Discussion Papers 538, National Institute of Economic and Social Research.
- 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.
- Gabriel Rodríguez & Renato Vassallo, 2022. "Time Evolution of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries: Empirical Application using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-508, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Paulo Chávez & Gabriel Rodríguez, 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.
- Calero Roberto & Gabriel Rodríguez & Salcedo Cisnero Roberto, 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.
- Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
- Sophio Togonidze & Evzen Kocenda, 2020.
"Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile,"
Working Papers IES
2020/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2020.
- Sophio Togonidze & Evžen Kočenda, 2022. "Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: An Analysis by Region and Resource Profile," FFA Working Papers 4.005, Prague University of Economics and Business, revised 25 Apr 2022.
- Jakub Drahokoupil, 2022. "Application of the XGBoost algorithm and Bayesian optimization for the Bitcoin price prediction during the COVID-19 period," FFA Working Papers 4.006, Prague University of Economics and Business, revised 09 May 2022.
- José R. Maria & Paulo Júlio, 2022. "Comparing estimated structural models of different complexities: What do we learn?," Working Papers w202205, Banco de Portugal, Economics and Research Department.
- Pérez Forero, Fernando, 2022. "Exchange Rate Volatility in LATAM: Common and Idiosyncratic Factors," Working Papers 2022-001, Banco Central de Reserva del Perú.
- Byron Botha & Rulof Burger & Kevin Kotze & Neil Rankin, & Daan Steenkamp, 2022.
"Big data forecasting of South African inflation,"
Working Papers
873, Economic Research Southern Africa.
- Byron Botha & Rulof Burger & Kevin Kotz & Neil Rankin & Daan Steenkamp, 2022. "Big data forecasting of South African inflation," Working Papers 11022, South African Reserve Bank.
- Zhao Han & Xiaohan Ma & Ruoyun Mao, .
"The Role of Dispersed Information in Inflation and Inflation Expectations,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics.
- Zhao Han & Xiaohan Ma & Ruoyun Mao, 2022. "Code and data files for "The Role of Dispersed Information in Inflation and Inflation Expectations"," Computer Codes 20-423, Review of Economic Dynamics.
- Korobilis, Dimitris & Shimizu, Kenichi, 2021.
"Bayesian Approaches to Shrinkage and Sparse Estimation,"
MPRA Paper
111631, University Library of Munich, Germany.
- Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Paper series 22-02, Rimini Centre for Economic Analysis.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers 2112.11751, arXiv.org.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
- Byron Botha & Rulof Burger & Kevin Kotz & Neil Rankin & Daan Steenkamp, 2022.
"Big data forecasting of South African inflation,"
Working Papers
11022, South African Reserve Bank.
- Byron Botha & Rulof Burger & Kevin Kotze & Neil Rankin, & Daan Steenkamp, 2022. "Big data forecasting of South African inflation," Working Papers 873, Economic Research Southern Africa.
- Jaeho Kim & Sora Chon, 2022. "Bayesian estimation of the long-run trend of the US economy," Empirical Economics, Springer, vol. 62(2), pages 461-485, February.
- Mike Tsionas & Marwan Izzeldin & Arne Henningsen & Evaggelos Paravalos, 2022. "Addressing endogeneity when estimating stochastic ray production frontiers: a Bayesian approach," Empirical Economics, Springer, vol. 62(3), pages 1345-1363, March.
- Alisher Tolepbergen, 2022.
"The role of labor market structure and shocks for monetary policy in Kazakhstan,"
International Journal of Economic Policy Studies, Springer, vol. 16(1), pages 179-210, February.
- Alisher Tolepbergen, 2020. "The role of labor market structure and shocks for monetary policy in Kazakhstan," NAC Analytica Working Paper 10, NAC Analytica, Nazarbayev University, revised Jan 2021.
- Obsa Urgessa Ayana & Jima Degaga, 2022. "Effects of rural electrification on household welfare: a meta-regression analysis," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 69(2), pages 209-261, June.
- Koki Kyo & Hideo Noda & Genshiro Kitagawa, 2022. "Co-movement of Cyclical Components Approach to Construct a Coincident Index of Business Cycles," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 101-127, March.
- Joshua C. Hall & Donald J. Lacombe & Amir Neto & James Young, 2022. "Bayesian Estimation of the Hierarchical SLX Model with an Application to Housing Markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(2), pages 360-373, April.
- Ramis Khabibullin & Alexey Ponomarenko, 2022. "An empirical behavioral model of household’s deposit dollarization," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(3), pages 827-847, July.
- Nikolas Kuschnig, 2022. "Bayesian spatial econometrics: a software architecture," Journal in Spatial Econometrics, Springer, vol. 3(1), pages 1-25, December.
- Inhwa Kim & Keith J. Gamble, 2022. "Too much or too little information: how unknown uncertainty fuels time inconsistency," SN Business & Economics, Springer, vol. 2(2), pages 1-33, February.
- Andrea Carriero & Alessio Volpicella, 2022. "Identification through the Forecast Error Variance Decomposition: an Application to Uncertainty," School of Economics Discussion Papers 0322, School of Economics, University of Surrey.
- Paul Levine & Joseph Pearlman & Alessio Volpicella & Bo Yang, 2022. "The Use and Mis-Use of SVARs for Validating DSGE Models," School of Economics Discussion Papers 0522, School of Economics, University of Surrey.
2021
- Pérez Forero, Fernando, 2021. "Predicción de variables macroeconómicas en el Perú a través un modelo BVAR con media cambiante en el tiempo," Working Papers 2021-001, Banco Central de Reserva del Perú.
- Giacomo Bulfone & Roberto Casarin & Francesco Ravazzolo, 2021. "Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model," Working Paper series 21-09, Rimini Centre for Economic Analysis.
- Etoundi Atenga, Eric Martial & Abdo, Maman Hassan & Mougoué, Mbodja, 2021. "Financial Frictions and Macroeconomy During Financial Crises: A Bayesian DSGE Assessment," American Business Review, Pompea College of Business, University of New Haven, vol. 24(2), pages 62-99, November.
- Karen Poghosyan & Ruben Poghosyan, 2021.
"On the Applicability of Dynamic Factor Models for Forecasting Real GDP Growth in Armenia,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 71(1), pages 52-79, June.
- Poghosyan, Karen & Poghosyan, Ruben, 2021. "On the applicability of dynamic factor models for forecasting real GDP growth in Armenia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 28-46.
- Kim, Seewon, 2021. "Evolution of China’s Economy and Monetary Policy: An Empirical Evaluation Using a TVP-VAR Model," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 25(1), pages 73-97, March.
- Alina BOBAŞU & Bogdan MURARAȘU, 2021. "Fiscal and Monetary Policy Interactions in a DSGE Model for the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-21, June.
- Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 19 Nov 2021.
- Shesadri Banerjee & Jayanthi K. Anand & Shashanka Bhide, 2021. "Estimation of Macro-financial Linkages for the Indian Economy," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(1), pages 7-47, April.
- Tamás Krisztin & Philipp Piribauer, 2021.
"Modelling European regional FDI flows using a Bayesian spatial Poisson interaction model,"
The Annals of Regional Science, Springer;Western Regional Science Association, vol. 67(3), pages 593-616, December.
- Tam'as Krisztin & Philipp Piribauer, 2020. "Modeling European regional FDI flows using a Bayesian spatial Poisson interaction model," Papers 2010.14856, arXiv.org.
- William A. Barnett & Jingxian Hu, 2021. "Capital Control, Exchange Rate Regime, and Monetary Policy: Indeterminacy and Bifurcation," Dynamic Modeling and Econometrics in Economics and Finance, in: Herbert Dawid & Jasmina Arifovic (ed.), Dynamic Analysis in Complex Economic Environments, pages 123-175, Springer.
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2021.
"Bayesian panel quantile regression for binary outcomes with correlated random effects: an application on crime recidivism in Canada,"
Empirical Economics, Springer, vol. 60(1), pages 227-259, January.
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," Papers 2001.09295, arXiv.org.
- Bresson, Georges & Lacroix, Guy & Arshad Rahman, Mohammad, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," IZA Discussion Papers 12928, Institute of Labor Economics (IZA).
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," CIRANO Working Papers 2020s-08, CIRANO.
- William W. Chow & Michael K. Fung, 2021. "The effects of macroprudential policy on Hong Kong’s housing market: a multivariate ordered probit-augmented vector autoregressive approach," Empirical Economics, Springer, vol. 60(2), pages 633-660, February.
- Yifei Cai & Angeliki Menegaki, 2021. "FDI, growth and trade partisan conflict in the US: TVP-BVAR approach," Empirical Economics, Springer, vol. 60(3), pages 1335-1362, March.
- Andrés Ramírez–Hassan & Rosember Guerra–Urzola, 2021. "Bayesian treatment effects due to a subsidized health program: the case of preventive health care utilization in Medellín (Colombia)," Empirical Economics, Springer, vol. 60(3), pages 1477-1506, March.
- Yushu Li & Fredrik N. G. Andersson, 2021.
"A simple wavelet-based test for serial correlation in panel data models,"
Empirical Economics, Springer, vol. 60(5), pages 2351-2363, May.
- Li, Yushu & Andersson, Fredrik N. G., 2013. "A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models," Working Papers 2013:39, Lund University, Department of Economics.
- Li, Yushu & Andersson, Fredrik N. G., 2014. "A simple wavelet-based test for serial correlation in panel data models," Discussion Papers 2014/11, Norwegian School of Economics, Department of Business and Management Science.
- Tamás Krisztin & Philipp Piribauer, 2021.
"A Bayesian spatial autoregressive logit model with an empirical application to European regional FDI flows,"
Empirical Economics, Springer, vol. 61(1), pages 231-257, July.
- Tamás Krisztin & Philipp Piribauer, 2021. "A Bayesian Spatial Autoregressive Logit Model With An Empirical Application to European Regional FDI Flows," WIFO Working Papers 586, WIFO.
- Nima Nonejad, 2021. "Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions," Empirical Economics, Springer, vol. 61(2), pages 973-1009, August.
- Arjun Gupta & Soudeh Mirghasemi & Mohammad Arshad Rahman, 2021.
"Heterogeneity in food expenditure among US families: evidence from longitudinal quantile regression,"
Indian Economic Review, Springer, vol. 56(1), pages 25-48, June.
- Arjun Gupta & Soudeh Mirghasemi & Mohammad Arshad Rahman, 2020. "Heterogeneity in Food Expenditure amongst US families: Evidence from Longitudinal Quantile Regression," Papers 2010.02614, arXiv.org.
- Olumuyiwa Tolulope Apanisile, 2021. "Remittances, financial development and the effectiveness of monetary policy transmission mechanism in Nigeria: a DSGE approach (1986–2018)," Indian Economic Review, Springer, vol. 56(1), pages 91-112, June.
- Nils Bertschinger & Iurii Mozzhorin, 2021. "Bayesian estimation and likelihood-based comparison of agent-based volatility models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 173-210, January.
- Anoop Chaturvedi & Shalabh & Sandeep Mishra, 2021. "Generalized Bayes Estimator for Spatial Durbin Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 267-285, December.
- Márcio P. Laurini & Pedro Chaim, 2021. "Brazilian stock market bubble in the 2010s," SN Business & Economics, Springer, vol. 1(1), pages 1-19, January.
- Griselda Dávila-Aragón & Salvador Rivas-Aceves & Héctor X. Ramírez-Pérez, 2021. "Survival Likelihood of Micro and Small Businesses Facing a Catastrophe," Springer Books, in: Griselda Dávila-Aragón & Salvador Rivas-Aceves (ed.), The Future of Companies in the Face of a New Reality, pages 17-36, Springer.
- Mariam Camarero & Sergi Moliner & Cecilio Tamarit, 2021.
"Is there a euro effect in the drivers of US FDI? New evidence using Bayesian model averaging techniques,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(4), pages 881-926, November.
- Mariam Camarero & Sergi Moliner & Cecilio Tamarit, 2020. "Is there a euro effect in the drivers of US FDI? New evidence using Bayesian Model Averaging techniques," Working Papers 2020/25, Economics Department, Universitat Jaume I, Castellón (Spain).
- Simona Hašková & Petr Šuleř & Tomáš Krulický, 2021. "Advantages of fuzzy approach compared to probabilistic approach in project evaluation," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 9(2), pages 446-456, December.
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2020.
"Fiscal policy shocks and stock prices in the United States,"
European Economic Review, Elsevier, vol. 129(C).
- Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Fiscal policy shocks and stock prices in the United States," Working Papers 178117307, Lancaster University Management School, Economics Department.
- Haroon Mumtaz & Konstantinos Theodoridis, 2021. "Fiscal policy shocks and stock prices in the United States," Working Papers 48, European Stability Mechanism.
- Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Fiscal Policy Shocks and Stock Prices in the United States," Working Papers 817, Queen Mary University of London, School of Economics and Finance.
- Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Fiscal Policy Shocks and Stock Prices in the United States," Working Papers 817, Queen Mary University of London, School of Economics and Finance.
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2018. "Fiscal Policy Shocks and Stock Prices in the United State," Cardiff Economics Working Papers E2018/20, Cardiff University, Cardiff Business School, Economics Section.
- Martin Iseringhausen, 2021. "A time-varying skewness model for Growth-at-Risk," Working Papers 49, European Stability Mechanism.
- N. Abilov, 2021.
"A Medium-Scale Bayesian DSGE Model for Kazakhstan with Incomplete Exchange Rate Pass-Through,"
International Economic Journal, Taylor & Francis Journals, vol. 35(4), pages 486-522, October.
- Nurdaulet Abilov, 2020. "A medium-scale Bayesian DSGE model for Kazakhstan with incomplete exchange rate pass-through," NAC Analytica Working Paper 7, NAC Analytica, Nazarbayev University, revised Apr 2021.
- Jean-Pierre Florens & Anna Simoni, 2021.
"Gaussian Processes and Bayesian Moment Estimation,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 482-492, March.
- Jean-Pierre Florens & Anna Simoni, 2015. "Gaussian processes and Bayesian moment estimation," Working Papers 2015-09, Center for Research in Economics and Statistics.
- Jean-Pierre Florens & Anna Simoni, 2019. "Gaussian Processes and Bayesian Moment Estimation," Post-Print hal-02903252, HAL.
- Dimitris Korobilis, 2021.
"High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 493-504, March.
- Dimitris Korobilis, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," Working Papers 2019_07, Business School - Economics, University of Glasgow.
- Dimitris Korobilis, 2020. "High-dimensional macroeconomic forecasting using message passing algorithms," Papers 2004.11485, arXiv.org.
- Dimitris Korobilis, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," Working Paper series 19-17, Rimini Centre for Economic Analysis.
- Korobilis, Dimitris, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," MPRA Paper 96079, University Library of Munich, Germany.
- Florian Huber & Gary Koop & Luca Onorante, 2021.
"Inducing Sparsity and Shrinkage in Time-Varying Parameter Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 669-683, July.
- Huber, Florian & Koop, Gary & Onorante, Luca, 2019. "Inducing Sparsity and Shrinkage in Time-Varying Parameter Models," Working Papers in Economics 2019-2, University of Salzburg.
- Florian Huber & Gary Koop & Luca Onorante, 2019. "Inducing Sparsity and Shrinkage in Time-Varying Parameter Models," Papers 1905.10787, arXiv.org, revised Dec 2019.
- Huber, Florian & Koop, Gary & Onorante, Luca, 2019. "Inducing sparsity and shrinkage in time-varying parameter models," Working Paper Series 2325, European Central Bank.
- Gulnihal Tuzun, 2021. "The Importance of External Shocks and Global Monetary Conditions for A Small-Open Economy," Working Papers 2109, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Hulya Saygili & Aysun Turkvatan, 2021. "Tradable and Non-tradable Inflation in Turkey: Predicting Different States with Markov Regime-Switching Approach," Working Papers 2117, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2020.
"A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance,"
Working Paper series
20-27, Rimini Centre for Economic Analysis.
- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2021. "A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance," Tinbergen Institute Discussion Papers 21-016/III, Tinbergen Institute.
- Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2021. "Bayes estimates of multimodal density features using DNA and Economic Data," Tinbergen Institute Discussion Papers 21-017/III, Tinbergen Institute.
- Stuart Donovan & Thomas de Graaff & Henri de Groot & Carl Koopmans, 2021. "Unravelling urban advantages - A meta-analysis of agglomeration economies," Tinbergen Institute Discussion Papers 21-026/VIII, Tinbergen Institute.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021.
"Weighted-average least squares (WALS): Confidence and prediction intervals,"
EIEF Working Papers Series
2108, Einaudi Institute for Economics and Finance (EIEF), revised May 2021.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021. "Weighted-average least squares (WALS): Confidence and prediction intervals," Tinbergen Institute Discussion Papers 21-038/III, Tinbergen Institute.
- Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2021.
"Quantifying time-varying forecast uncertainty and risk for the real price of oil,"
Working Paper
2021/3, Norges Bank.
- Knut Are Aastveit & Jamie Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Tinbergen Institute Discussion Papers 21-053/III, Tinbergen Institute.
- Knut Are Aastveit & Jamie Cross & Herman K. Djik, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Papers No 03/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Michael Gilraine & Jiaying Gu & Robert McMillan, 2021. "A Nonparametric Method for Estimating Teacher Value-Added," Working Papers tecipa-689, University of Toronto, Department of Economics.
- Alfred Duncan, 2021. "Reverse mode differentiation for DSGE models," Studies in Economics 2108, School of Economics, University of Kent.
- Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020.
"The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach,"
Papers
2012.14693, arXiv.org.
- Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2021. "The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Working Papers 2021:03, Department of Economics, University of Venice "Ca' Foscari".
- Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021.
"COVID-19 spreading in financial networks: A semiparametric matrix regression model,"
Papers
2101.00422, arXiv.org.
- Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
- Toledo Wilfredo, 2021. "Covid-19 and Unemployment: Evidence from Puerto Rico Using Bayesian Analyses with High-Frequency Data," Economics and Business, Sciendo, vol. 35(1), pages 174-189, January.
- Ugwu Ephraim & Amassoma Ditimi & Ehinomen Christopher, 2021. "Investigating Exchange Rate Pass-through to Consumer Prices in Nigeria," Folia Oeconomica Stetinensia, Sciendo, vol. 21(1), pages 105-121, June.
- Tamás Krisztin & Philipp Piribauer, 2021.
"A Bayesian spatial autoregressive logit model with an empirical application to European regional FDI flows,"
Empirical Economics, Springer, vol. 61(1), pages 231-257, July.
- Tamás Krisztin & Philipp Piribauer, 2021. "A Bayesian Spatial Autoregressive Logit Model With An Empirical Application to European Regional FDI Flows," WIFO Working Papers 586, WIFO.
- Ringwald, Leopold & Zörner, Thomas O., 2021.
"The money-inflation nexus revisited,"
Department of Economics Working Paper Series
310, WU Vienna University of Economics and Business.
- Leopold Ringwald & Thomas O. Zörner, 2021. "The money-inflation nexus revisited," Department of Economics Working Papers wuwp310, Vienna University of Economics and Business, Department of Economics.
- Kuschnig, Nikolas, 2021.
"Bayesian Spatial Econometrics and the Need for Software,"
Department of Economics Working Paper Series
318, WU Vienna University of Economics and Business.
- Nikolas Kuschnig, 2021. "Bayesian Spatial Econometrics and the Need for Software," Department of Economics Working Papers wuwp318, Vienna University of Economics and Business, Department of Economics.
- Leopold Ringwald & Thomas O. Zörner, 2021.
"The money-inflation nexus revisited,"
Department of Economics Working Papers
wuwp310, Vienna University of Economics and Business, Department of Economics.
- Ringwald, Leopold & Zörner, Thomas O., 2021. "The money-inflation nexus revisited," Department of Economics Working Paper Series 310, WU Vienna University of Economics and Business.
- Nikolas Kuschnig, 2021.
"Bayesian Spatial Econometrics and the Need for Software,"
Department of Economics Working Papers
wuwp318, Vienna University of Economics and Business, Department of Economics.
- Kuschnig, Nikolas, 2021. "Bayesian Spatial Econometrics and the Need for Software," Department of Economics Working Paper Series 318, WU Vienna University of Economics and Business.
- Stylianos Asimakopoulos & Marco Lorusso & Luca Pieroni, 2021.
"Can public spending boost private consumption?,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(3), pages 1275-1313, November.
- Stylianos Asimakopoulos & Marco Lorusso & Luca Pieroni, 2016. "Can Public Spending Boost Private Consumption?," CEERP Working Paper Series 005, Centre for Energy Economics Research and Policy, Heriot-Watt University.
- Chunping Liu & Zhirong Ou, 2021.
"What determines China's housing price dynamics? New evidence from a DSGE‐VAR,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3269-3305, July.
- Liu, Chunping & Ou, Zhirong, 2017. "What determines China's housing price dynamics? New evidence from a DSGE-VAR," Cardiff Economics Working Papers E2017/4, Cardiff University, Cardiff Business School, Economics Section.
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021.
"Focused Bayesian prediction,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019. "Focused Bayesian Prediction," Papers 1912.12571, arXiv.org, revised Aug 2020.
- Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020. "Focused Bayesian Prediction," Monash Econometrics and Business Statistics Working Papers 1/20, Monash University, Department of Econometrics and Business Statistics.
- Arnoud Stevens & Joris Wauters, 2021.
"Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
- Arnoud Stevens & Joris Wauters, 2018. "Is euro area lowflation here to stay ? Insights from a time-varying parameter model with survey data," Working Paper Research 355, National Bank of Belgium.
- Gregor Bäurle & Elizabeth Steiner & Gabriel Züllig, 2021.
"Forecasting the production side of GDP,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 458-480, April.
- Gregor Bäurle & Elizabeth Steiner & Gabriel Züllig, 2018. "Forecasting the production side of GDP," Working Papers 2018-16, Swiss National Bank.
- Till Weigt & Bernd Wilfling, 2021.
"An approach to increasing forecast‐combination accuracy through VAR error modeling,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 686-699, July.
- Till Weigt & Bernd Wilfling, 2018. "An approach to increasing forecast-combination accuracy through VAR error modeling," CQE Working Papers 6818, Center for Quantitative Economics (CQE), University of Muenster.
- 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.
- Beutel, Johannes & Metiu, Norbert & Stockerl, Valentin, 2021.
"Toothless tiger with claws? Financial stability communication, expectations, and risk-taking,"
Journal of Monetary Economics, Elsevier, vol. 120(C), pages 53-69.
- Beutel, Johannes & Metiu, Norbert & Stockerl, Valentin, 2021. "Toothless tiger with claws? Financial stability communication, expectations, and risk-taking," Discussion Papers 05/2021, Deutsche Bundesbank.
- Arrigoni, Simone & Bobasu, Alina & Venditti, Fabrizio, 2021. "The simpler, the better: Measuring financial conditions for monetary policy and financial stability," EIB Working Papers 2021/10, European Investment Bank (EIB).
- Prishchepov, Alexander & Ponkina, Elena & Sun, Zhanli & Bavorova, Miroslava & Yekimovskaja, Olga, 2021. "Исследование Поведенческих Факторов Сельхозпроизводителей По Вовлечению В Оборот Заброшенных Сельскохозяйственных Земель: Пример Республики Бурятия [Study of farmer’s behavior in recultivation of a," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 59-102.
- Hauber, Philipp, 2021. "How useful is external information from professional forecasters? Conditional forecasts in large factor models," EconStor Preprints 251469, ZBW - Leibniz Information Centre for Economics.
- Savin, Ivan & Ott, Ingrid & Konop, Chris, 2022.
"Tracing the evolution of service robotics: Insights from a topic modeling approach,"
Technological Forecasting and Social Change, Elsevier, vol. 174(C).
- Ott, Ingrid & Savin, Ivan & Konop, Chris, 2021. "Tracing the evolution of service robotics: Insights from a topic modeling approach," Kiel Working Papers 2180, Kiel Institute for the World Economy (IfW Kiel).
- Brünner, Tobias, 2021. "Estimation Procedure for "Price Formation in Call Auctions with Insider Information"," LEAF Working Paper Series 21-01, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF).
- Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Monetary policy uncertainty and inflation expectations," Ruhr Economic Papers 899, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Heterogeneity, co-movements and financial fragmentation within the euro area," Ruhr Economic Papers 927, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Zuzana Gric & Josef Bajzik & Ondrej Badura, 2021. "Does Sentiment Affect Stock Returns? A Meta-analysis Across Survey-based Measures," Working Papers 2021/10, Czech National Bank.
- Marcus Gerardus L. Nascimento & Kalinca Becker & Mario Jorge Mendonça, 2021. "Implications of Brazilian Institutional Guidelines on Educational Efficiency," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Fall 2020), pages 147-168, July.
- Meenagh, David & Minford, Patrick & Wickens, Michael, 2021.
"Estimating macro models and the potentially misleading nature of Bayesian estimation,"
Cardiff Economics Working Papers
E2021/22, Cardiff University, Cardiff Business School, Economics Section.
- Meenagh, David & Minford, Patrick & Wickens, Michael R., 2021. "Estimating macro models and the potentially misleading nature of Bayesian estimation," CEPR Discussion Papers 15684, C.E.P.R. Discussion Papers.
- S. Borağan Aruoba & Marko Mlikota & Frank Schorfheide & Sergio Villalvazo, 2021.
"SVARs With Occasionally-Binding Constraints,"
NBER Working Papers
28571, National Bureau of Economic Research, Inc.
- Aruoba, Boragan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2020.
"Measuring Uncertainty and Its Effects in the COVID-19 Era,"
Working Papers
20-32R, Federal Reserve Bank of Cleveland, revised 05 Jan 2022.
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- Aggarwal, Ishant & Seiler, Stephan & Smith, Adam, 2021. "Optimal Price Targeting," CEPR Discussion Papers 16096, C.E.P.R. Discussion Papers.
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"Heterogeneity and Aggregate Fluctuations,"
NBER Working Papers
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"Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty,"
Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
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"Robust Bayesian Analysis for Econometrics,"
Working Paper Series
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"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
Working Papers
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"Comment on Giacomini, Kitagawa and Read's 'Narrative Restrictions and Proxies',"
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2117, Federal Reserve Bank of Dallas.
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"Debt Management in a World of Fiscal Dominance,"
JRC Working Papers on Taxation & Structural Reforms
2021-11, Joint Research Centre (Seville site).
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"When Are Stocks Less Volatile in the Long Run?,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(4), pages 1228-1258, June.
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"The Likelihood Of Effective Lower Bound Events,"
Macroeconomic Dynamics, Cambridge University Press, vol. 25(8), pages 2058-2079, December.
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"Heterogeneity and Aggregate Fluctuations,"
NBER Working Papers
28853, National Bureau of Economic Research, Inc.
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"Modelling and Estimating Large Macroeconomic Shocks During the Pandemic,"
National Institute of Economic and Social Research (NIESR) Discussion Papers
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"The journey towards dollarization: the role of the tourism industry,"
MPRA Paper
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"Revisiting Identification Concepts in Bayesian Analysis,"
Annals of Economics and Statistics, GENES, issue 144, pages 1-38.
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"Do Women Respond Less to Performance Pay? Building Evidence from Multiple Experiments,"
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"The journey towards dollarization: the role of the tourism industry,"
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105505, University Library of Munich, Germany.
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- Ibrahim D. Raheem & Kazeem B. Ajide, 2021. "The Journey towards Dollarization: The Role of the Tourism Industry," Working Papers 21/008, European Xtramile Centre of African Studies (EXCAS).
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"Bayesian Inference for Parametric Growth Incidence Curves,"
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"The Bayesian approach to poverty measurement,"
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"Estimating DSGE Models: Recent Advances and Future Challenges,"
Annual Review of Economics, Annual Reviews, vol. 13(1), pages 229-252, August.
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"COVID-19 spreading in financial networks: A semiparametric matrix regression model,"
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"Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data,"
CAEPR Working Papers
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"A Unified Framework for Specification Tests of Continuous Treatment Effect Models,"
Cambridge Working Papers in Economics
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"Loss-Based Variational Bayes Prediction,"
Monash Econometrics and Business Statistics Working Papers
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"Vector autoregression models with skewness and heavy tails,"
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"Revisiting Identification Concepts in Bayesian Analysis,"
Annals of Economics and Statistics, GENES, issue 144, pages 1-38.
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"Bayesian Estimation and Comparison of Conditional Moment Models,"
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"Forecasting with a Panel Tobit Model,"
CAEPR Working Papers
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"Asymmetric conjugate priors for large Bayesian VARs,"
CAMA Working Papers
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"Bayesian Approaches to Shrinkage and Sparse Estimation,"
MPRA Paper
111631, University Library of Munich, Germany.
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"Does immigration grow the pie? Asymmetric evidence from Germany,"
European Economic Review, Elsevier, vol. 138(C).
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- Departamento de Economía Internacional y Área del Euro, 2021. "Report on the Latin American Economy. Second half of 2021. Outlook, vulnerabilities and policy space," Economic Bulletin, Banco de España, issue 4/2021, pages 1-56.
- International Economics and Euro Area Department, 2021. "Report on the Latin American economy. First half of 2021. Outlook, vulnerabilities and policy space," Economic Bulletin, Banco de España, issue 2/2021, pages 1-35.
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"Endogenous Time Variation in Vector Autoregressions,"
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"Steady‐state growth,"
International Finance, Wiley Blackwell, vol. 24(1), pages 40-52, April.
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"Time discounting and implications for Chinese farmer responses to an upward trend in precipitation,"
Journal of Agricultural Economics, Wiley Blackwell, vol. 72(3), pages 916-930, September.
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"International Effects of Euro Area Forward Guidance,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1066-1110, October.
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"Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
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"The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States,"
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"Quantifying time-varying forecast uncertainty and risk for the real price of oil,"
Tinbergen Institute Discussion Papers
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"Did the FED React to Asset Price Bubbles?,"
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"Stochastic model specification in Markov switching vector error correction models,"
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"Macroeconomic uncertainty and forecasting macroeconomic aggregates,"
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"A Unified Framework for Specification Tests of Continuous Treatment Effect Models,"
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"Estimating macro models and the potentially misleading nature of Bayesian estimation,"
CEPR Discussion Papers
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"Energy Expenditure in Egypt: Empirical Evidence Based on A Quantile Regression Approach,"
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"Meta-Analysis of Empirical Estimates of Loss-Aversion,"
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"Selective Attention in Exchange Rate Forecasting,"
Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(2), pages 210-229, May.
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- Svatopluk Kapounek & Evžen Kocenda & Zuzana Kucerová, 2021. "Selective Attention in Exchange Rate Forecasting," CESifo Working Paper Series 8901, CESifo.
- Svatopluk Kapounek & Zuzana Kucerova & Evzen Kocenda, 2020. "Selective Attention in Exchange Rate Forecasting," Working Papers IES 2020/42, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2020.
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- Adam N. Smith & Stephan Seiler & Ishant Aggarwal, 2021. "Optimal Price Targeting," CESifo Working Paper Series 9439, CESifo.
- Bayer, Christian & Born, Benjamin & Luetticke, Ralph, 2020.
"The Liquidity Channel of Fiscal Policy,"
CEPR Discussion Papers
14883, C.E.P.R. Discussion Papers.
- Christian Bayer & Benjamin Born & Ralph Luetticke, 2021. "The Liquidity Channel of Fiscal Policy," ifo Working Paper Series 351, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
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- Larsen, Vegard H. & Thorsrud, Leif Anders & Zhulanova, Julia, 2021.
"News-driven inflation expectations and information rigidities,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 507-520.
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- Vegard H. Larsen & Leif Anders Thorsrud & Julia Zhulanova, 2019. "News-driven inflation expectations and information rigidities," Working Paper 2019/5, Norges Bank.
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"Toothless tiger with claws? Financial stability communication, expectations, and risk-taking,"
Journal of Monetary Economics, Elsevier, vol. 120(C), pages 53-69.
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- Kumbhakar, Subal C. & Tsionas, Mike G., 2021. "Dissections of input and output efficiency: A generalized stochastic frontier model," International Journal of Production Economics, Elsevier, vol. 232(C).
- Tsionas, Mike G., 2021. "Bayesian forecasting with the structural damped trend model," International Journal of Production Economics, Elsevier, vol. 234(C).
- Abanto-Valle, Carlos A. & Rodríguez, Gabriel & Garrafa-Aragón, Hernán B., 2021. "Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 272-286.
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- Prüser, Jan & Schmidt, Torsten, 2021. "Regional composition of national house price cycles in the US," Regional Science and Urban Economics, Elsevier, vol. 87(C).
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"Market efficiency in the age of big data,"
Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
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- Yihong Ding & Kelvin Balcombe & Elizabeth Robinson, 2021.
"Time discounting and implications for Chinese farmer responses to an upward trend in precipitation,"
Journal of Agricultural Economics, Wiley Blackwell, vol. 72(3), pages 916-930, September.
- Ding, Yihong & Balcombe, Kelvin & Robinson, Elizabeth, 2021. "Time discounting and implications for Chinese farmer responses to an upward trend in precipitation," LSE Research Online Documents on Economics 113546, London School of Economics and Political Science, LSE Library.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021.
"Weighted-average least squares (WALS): Confidence and prediction intervals,"
Tinbergen Institute Discussion Papers
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- Raheem, Ibrahim & Ajide, Kazeem, 2020.
"The journey towards dollarization: the role of the tourism industry,"
MPRA Paper
105505, University Library of Munich, Germany.
- Ibrahim D. Raheem & Kazeem B. Ajide, 2021. "The Journey towards Dollarization: The Role of the Tourism Industry," Working Papers 21/008, European Xtramile Centre of African Studies (EXCAS).
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- Ibrahim D. Raheem & Kazeem B. Ajide, 2021. "The Journey towards Dollarization: The Role of the Tourism Industry," Research Africa Network Working Papers 21/008, Research Africa Network (RAN).
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- Poghosyan, Karen & Poghosyan, Ruben, 2021.
"On the applicability of dynamic factor models for forecasting real GDP growth in Armenia,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 28-46.
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- Michal Kuchta, 2021. "Scenario Generation for IFRS9 Purposes using a Bayesian MS-VAR Model," Working Papers IES 2021/10, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2021.
- Marcin Hitczenko, 2021. "Sample Bias Related to Household Role," FRB Atlanta Working Paper 2021-9, Federal Reserve Bank of Atlanta.
- Nan Li & Chris Papageorgiou & Tong Xu & Tao Zha, 2021.
"The S-curve: Understanding the Dynamics of Worldwide Financial Liberalization,"
NBER Working Papers
28994, National Bureau of Economic Research, Inc.
- Nan Li & Chris Papageorgiou & Tao Zha, 2021. "The S-curve: Understanding the Dynamics of Worldwide Financial Liberalization," FRB Atlanta Working Paper 2021-19, Federal Reserve Bank of Atlanta.
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- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021.
"Macroeconomic Forecasting in a Multi-country Context,"
Working Papers
22-02, Federal Reserve Bank of Cleveland.
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- Pallavi Basu & Luella Fu & Alessio Saretto & Wenguang Sun, 2021. "Empirical Bayes Control of the False Discovery Exceedance," Working Papers 2115, Federal Reserve Bank of Dallas.
- Kilian, Lutz, 2021.
"Comment on Giacomini, Kitagawa and Read's 'Narrative Restrictions and Proxies',"
CEPR Discussion Papers
16818, C.E.P.R. Discussion Papers.
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- Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew, 2021.
"Robust Bayesian Analysis for Econometrics,"
CEPR Discussion Papers
16488, C.E.P.R. Discussion Papers.
- Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021. "Robust Bayesian Analysis for Econometrics," Working Paper Series WP-2021-11, Federal Reserve Bank of Chicago.
- W. Blake Marsh & Padma Sharma, 2021. "Government Loan Guarantees during a Crisis: The Effect of the PPP on Bank Lending and Profitability," Research Working Paper RWP 21-03, Federal Reserve Bank of Kansas City.
- Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
- Siddhartha Chib & Minchul Shin & Fei Tan, 2021. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Working Papers 21-02, Federal Reserve Bank of Philadelphia.
- Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models," Working Papers 21-21, Federal Reserve Bank of Philadelphia.
- Manthos D. Delis & Pantelis Kazakis & Constantin Zopounidis, 2021. "Management Practices and Takeover Decisions," Working Papers 2021_10, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris & Shimizu, Kenichi, 2021.
"Bayesian Approaches to Shrinkage and Sparse Estimation,"
MPRA Paper
111631, University Library of Munich, Germany.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
- Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Paper series 22-02, Rimini Centre for Economic Analysis.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers 2112.11751, arXiv.org.
- Fateh Belaid & Christophe Rault, 2020.
"Energy Expenditure in Egypt: Empirical Evidence Based on A Quantile Regression Approach,"
Working Papers
1446, Economic Research Forum, revised 20 Dec 2020.
- Fateh Belaid & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," Post-Print hal-03272592, HAL.
- Fateh BELAID & Christophe RAULT, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," LEO Working Papers / DR LEO 2893, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Belaïd, Fateh & Rault, Christophe, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," IZA Discussion Papers 14011, Institute of Labor Economics (IZA).
- Fateh Belaïd & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," CESifo Working Paper Series 8815, CESifo.
- Fateh Bélaïd & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," Post-Print hal-03529106, HAL.
- Siddhartha Chib & Minchul Shin & Anna Simoni, 2019.
"Bayesian Estimation and Comparison of Conditional Moment Models,"
Working Papers
19-51, Federal Reserve Bank of Philadelphia.
- Siddhartha Chib & Minchul Shin & Anna Simoni, 2021. "Bayesian Estimation and Comparison of Conditional Moment Models," Post-Print hal-03504122, HAL.
- Siddhartha Chib & Minchul Shin & Anna Simoni, 2021. "Bayesian Estimation and Comparison of Conditional Moment Models," Papers 2110.13531, arXiv.org.
- Jean-Pierre Florens & Anna Simoni, 2021.
"Revisiting Identification Concepts in Bayesian Analysis,"
Annals of Economics and Statistics, GENES, issue 144, pages 1-38.
- Jean-Pierre Florens & Anna Simoni, 2021. "Revisiting identification concepts in Bayesian analysis," Papers 2110.09954, arXiv.org.
- Jean-Pierre Florens & Anna Simoni, 2021. "Revisiting Identification Concepts in Bayesian Analysis," Post-Print hal-03504692, HAL.
- Fateh Belaid & Christophe Rault, 2020.
"Energy Expenditure in Egypt: Empirical Evidence Based on A Quantile Regression Approach,"
Working Papers
1446, Economic Research Forum, revised 20 Dec 2020.
- Fateh Bélaïd & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," Post-Print hal-03529106, HAL.
- Fateh Belaid & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," Post-Print hal-03272592, HAL.
- Fateh BELAID & Christophe RAULT, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," LEO Working Papers / DR LEO 2893, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Belaïd, Fateh & Rault, Christophe, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," IZA Discussion Papers 14011, Institute of Labor Economics (IZA).
- Fateh Belaïd & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," CESifo Working Paper Series 8815, CESifo.
- Edwin Fourrier-Nicolai & Michel Lubrano, 2021.
"Bayesian Inference for Parametric Growth Incidence Curves,"
Working Papers
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- Edwin Fourrier-Nicolaï & Michel Lubrano, 2021. "Bayesian Inference for Parametric Growth Incidence Curves," Post-Print hal-03541743, HAL.
- Edwin Fourrier-Nicolai & Michel Lubrano, 2021. "Bayesian Inference for Parametric Growth Incidence Curves," AMSE Working Papers 2131, Aix-Marseille School of Economics, France.
- Elie Ndemba Tshilambu, 2021. "Pression Fiscale Optimale et Croissance Economique en République Démocratique du Congo : 1990 -2020," Working Papers hal-03210477, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021.
"Bayesian Local Projections,"
The Warwick Economics Research Paper Series (TWERPS)
1348, University of Warwick, Department of Economics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," Working Papers hal-03373574, HAL.
- Edwin Fourrier-Nicolaï & Michel Lubrano, 2021.
"Bayesian Inference for Parametric Growth Incidence Curves,"
Post-Print
hal-03541743, HAL.
- Edwin Fourrier-Nicolai & Michel Lubrano, 2021. "Bayesian Inference for Parametric Growth Incidence Curves," Working Papers halshs-03225236, HAL.
- Edwin Fourrier-Nicolai & Michel Lubrano, 2021. "Bayesian Inference for Parametric Growth Incidence Curves," AMSE Working Papers 2131, Aix-Marseille School of Economics, France.
- Michel Lubrano & Zhou Xun, 2021.
"The Bayesian approach to poverty measurement,"
AMSE Working Papers
2133, Aix-Marseille School of Economics, France.
- Michel Lubrano & Zhou Xun, 2021. "The Bayesian approach to poverty measurement," Working Papers halshs-03234072, HAL.
- Oguzhan Cepni & Riza Demirer & Rangan Gupta & Ahmet Sensoy, 2020.
"Interest Rate Uncertainty and the Predictability of Bank Revenues,"
Working Papers
202040, University of Pretoria, Department of Economics.
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- Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021. "Is There A Replication Crisis In Finance?," NBER Working Papers 28432, National Bureau of Economic Research, Inc.
- Aruoba, Boragan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2021.
"SVARs With Occasionally-Binding Constraints,"
CEPR Discussion Papers
15923, C.E.P.R. Discussion Papers.
- S. Borağan Aruoba & Marko Mlikota & Frank Schorfheide & Sergio Villalvazo, 2021. "SVARs With Occasionally-Binding Constraints," NBER Working Papers 28571, National Bureau of Economic Research, Inc.
- Chang, Minsu & Chen, Xiaohong & Schorfheide, Frank, 2021.
"Heterogeneity and Aggregate Fluctuations,"
CEPR Discussion Papers
16183, C.E.P.R. Discussion Papers.
- Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021. "Heterogeneity and Aggregate Fluctuations," NBER Working Papers 28853, National Bureau of Economic Research, Inc.
- Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021. "Heterogeneity and Aggregate Fluctuations," Cowles Foundation Discussion Papers 2289, Cowles Foundation for Research in Economics, Yale University.
- Nan Li & Chris Papageorgiou & Tao Zha, 2021.
"The S-curve: Understanding the Dynamics of Worldwide Financial Liberalization,"
FRB Atlanta Working Paper
2021-19, Federal Reserve Bank of Atlanta.
- Nan Li & Chris Papageorgiou & Tong Xu & Tao Zha, 2021. "The S-curve: Understanding the Dynamics of Worldwide Financial Liberalization," NBER Working Papers 28994, National Bureau of Economic Research, Inc.
- Kline, Patrick & Rose, Evan K. & Walters, Christopher R., 2021.
"Systemic Discrimination among Large U.S. Employers,"
IZA Discussion Papers
14634, Institute of Labor Economics (IZA).
- Patrick M. Kline & Evan K. Rose & Christopher R. Walters, 2021. "Systemic Discrimination Among Large U.S. Employers," NBER Working Papers 29053, National Bureau of Economic Research, Inc.
- Ali Hortaçsu & Olivia R. Natan & Hayden Parsley & Timothy Schwieg & Kevin R. Williams, 2021. "Organizational Structure and Pricing: Evidence from a Large U.S. Airline," NBER Working Papers 29508, National Bureau of Economic Research, Inc.
- Ali Hortaçsu & Olivia R. Natan & Hayden Parsley & Timothy Schwieg & Kevin R. Williams, 2021. "Incorporating Search and Sales Information in Demand Estimation," NBER Working Papers 29530, National Bureau of Economic Research, Inc.
- Frank Schorfheide & Dongho Song, 2020.
"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
Working Papers
20-26, Federal Reserve Bank of Philadelphia.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
- Schorfheide, Frank & Song, Dongo, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- King Yoong Lim & Chunping Liu & Shuonan Zhang, 2021. "Optimal Central Banking Policies: Envisioning the Post-Digital Yuan Economy with Loan Prime Rate-setting," NBS Discussion Papers in Economics 2021/02, Economics, Nottingham Business School, Nottingham Trent University.
- Sanyal, Anirban & Singh, Nirvikar, 2021. "Structural Change and Economic Growth: Patterns and Heterogeneity among Indian States and Implications for a Post-COVID Recovery," India Policy Forum, National Council of Applied Economic Research, vol. 17(1), pages 143-198.
- Ali Hortaçsu & Olivia R. Natan & Hayden Parsley & Timothy Schwieg & Kevin R. Williams, 2021. "Organizational Structure and Pricing: Evidence from a Large U.S. Airline," Working Papers 21-09, NET Institute.
- Andrew Y. Chen & Fabian Winkler & Rebecca Wasyk, 2021. "In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less," Critical Finance Review, now publishers, vol. 10(3), pages 329-381, August.
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"Modelling and Estimating Large Macroeconomic Shocks During the Pandemic,"
CREATES Research Papers
2021-08, Department of Economics and Business Economics, Aarhus University.
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- Kenji Hatakenaka & Kosuke Oya, 2021. "Bayesian inference for time varying partial adjustment model with application to intraday price discovery," Discussion Papers in Economics and Business 21-19, Osaka University, Graduate School of Economics.
- Michael Cai & Marco Del & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021.
"Online estimation of DSGE models,"
Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.
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- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Liberty Street Economics 20190821, Federal Reserve Bank of New York.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," Finance and Economics Discussion Series 2020-023, Board of Governors of the Federal Reserve System (U.S.).
- John M Maheu & Azam Shamsi Zamenjani, 2021.
"Nonparametric Dynamic Conditional Beta,"
Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(4), pages 583-613.
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- Christopher C Geczy & Robert F Stambaugh & David Levin, 2021. "Investing in Socially Responsible Mutual Funds [Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation]," Review of Asset Pricing Studies, Oxford University Press, vol. 11(2), pages 309-351.
- Simon C Smith & Allan Timmermann & Stijn Van Nieuwerburgh, 2021. "Break Risk [Maximum likelihood estimation of the equity premium]," Review of Financial Studies, Society for Financial Studies, vol. 34(4), pages 2045-2100.
- Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2021. "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers 2021-502, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Ciftci, Muhsin, 2021. "Uneven Consequences of Coronavirus Pandemic: Evidence from a Real Time Survey," MPRA Paper 107842, University Library of Munich, Germany.
- Rikhotso, Prayer & Bonga-Bonga, Lumengo, 2021. "Exchange rate misalignments and current accounts in BRICS countries," MPRA Paper 107973, University Library of Munich, Germany.
- Koffi, Siméon, 2021. "Analyse de la politique budgétaire en Côte d’ivoire à partir d’une estimation Bayésienne d’un modèle d'Equilibre Général Dynamique Stochastique (DSGE) [Analysis of fiscal policy in Côte d’Ivoire us," MPRA Paper 108751, University Library of Munich, Germany.
- Abreha, Fasika Molla & Salmasi, Luca & Ianuale, Nicola & Pegoraro, Enrico, 2021. "A Bayesian Cost-effectiveness analysis of Holobalance, Holograms for personalized virtual coaching and motivation in an ageing population with balance disorders," MPRA Paper 109301, University Library of Munich, Germany.
- Doojav, Gan-Ochir, 2021. "Macroeconomic modeling for optimal stabilization policy in Mongolia," MPRA Paper 111206, University Library of Munich, Germany.
- Dimitris Korobilis & Kenichi Shimizu, 2021.
"Bayesian Approaches to Shrinkage and Sparse Estimation,"
Working Papers
2021_19, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris & Shimizu, Kenichi, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," MPRA Paper 111631, University Library of Munich, Germany.
- Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Paper series 22-02, Rimini Centre for Economic Analysis.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers 2112.11751, arXiv.org.
- Timothy B. Armstrong & Michal Koles'ar & Mikkel Plagborg-M{o}ller, 2020.
"Robust Empirical Bayes Confidence Intervals,"
Papers
2004.03448, arXiv.org, revised May 2022.
- Timothy B. Armstrong & Michal Kolesár & Mikkel Plagborg-Møller, 2021. "Robust Empirical Bayes Confidence Intervals," Working Papers 2021-19, Princeton University. Economics Department..
- Laura Liu & Mikkel Plagborg-Møller, 2021. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Working Papers 2021-68, Princeton University. Economics Department..
- Bodnar, Olha & Bodnar, Taras, 2021. "Objective Bayesian meta-analysis based on generalized multivariate random effects model," Working Papers 2021:5, Örebro University, School of Business.
- Bodnar, Olha, 2021. "Bayesian Model Selection for Small Datasets of Measurement Results," Working Papers 2021:6, Örebro University, School of Business.
- Bodnar, Olha & Eriksson, Viktor, 2021. "Bayesian model selection: Application to adjustment of fundamental physical constants," Working Papers 2021:7, Örebro University, School of Business.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021.
"Vector autoregression models with skewness and heavy tails,"
Papers
2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021. "Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances," Working Papers 2021:9, Örebro University, School of Business.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022.
"Predicting returns and dividend growth — The role of non-Gaussian innovations,"
Finance Research Letters, Elsevier, vol. 46(PA).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
- Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021. "A dynamic leverage stochastic volatility model," Working Papers 2021:14, Örebro University, School of Business.
- Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series HIAS-E-104, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Gregor Bäurle & Matthias Gubler & Diego R. Känzig, 2021.
"International Inflation Spillovers: The Role of Different Shocks,"
International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 191-230, March.
- Gregor Bäurle & Matthias Gubler & Diego R. Känzig, 2017. "International inflation spillovers - the role of different shocks," Working Papers 2017-07, Swiss National Bank.
- Batini, Nicoletta & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni & Waldron, Anthony, 2022.
"Building back better: How big are green spending multipliers?,"
Ecological Economics, Elsevier, vol. 193(C).
- Nicoletta Batini & Mr. Giovanni Melina & Mario di Serio & Matteo Fragetta, 2021. "Building Back Better: How Big Are Green Spending Multipliers?," IMF Working Papers 2021/087, International Monetary Fund.
- Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2021.
"Debt Management in a World of Fiscal Dominance,"
LIDAM Discussion Papers IRES
2021018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2021. "Debt Management in a World of Fiscal Dominance," JRC Working Papers on Taxation & Structural Reforms 2021-11, Joint Research Centre (Seville site).
- Fateh Belaid & Christophe Rault, 2020.
"Energy Expenditure in Egypt: Empirical Evidence Based on A Quantile Regression Approach,"
Working Papers
1446, Economic Research Forum, revised 20 Dec 2020.
- Belaïd, Fateh & Rault, Christophe, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," IZA Discussion Papers 14011, Institute of Labor Economics (IZA).
- Fateh Belaid & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," Post-Print hal-03272592, HAL.
- Fateh BELAID & Christophe RAULT, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," LEO Working Papers / DR LEO 2893, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Fateh Belaïd & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," CESifo Working Paper Series 8815, CESifo.
- Fateh Bélaïd & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," Post-Print hal-03529106, HAL.
- Patrick M. Kline & Evan K. Rose & Christopher R. Walters, 2021.
"Systemic Discrimination Among Large U.S. Employers,"
NBER Working Papers
29053, National Bureau of Economic Research, Inc.
- Kline, Patrick & Rose, Evan K. & Walters, Christopher R., 2021. "Systemic Discrimination among Large U.S. Employers," IZA Discussion Papers 14634, Institute of Labor Economics (IZA).
- Rabia Özdemir & Münevver Turanlı, 2021. "Comparison of machine learning classification algorithms for purchasing forecast," JOURNAL OF LIFE ECONOMICS, Holistence Publications, vol. 8(1), pages .59-68, January.
- Prüser Jan & Hanck Christoph, 2021. "A Comparison of Approaches to Select the Informativeness of Priors in BVARs," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(4), pages 501-525, August.
- Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020.
"Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs,"
Papers
2008.12706, arXiv.org, revised Dec 2020.
- Florian, Huber & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Working Papers 2021-01, Joint Research Centre, European Commission.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Working Paper Series 2510, European Central Bank.
- Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco, 2021. "Efficient and robust inference of models with occasionally binding constraints," Working Papers 2021-03, Joint Research Centre, European Commission.
- Cardani, Roberta & Croitorov, Olga & Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2021. "The Euro Area's pandemic recession: A DSGE interpretation," Working Papers 2021-10, Joint Research Centre, European Commission.
- Barron, Kai, 2021.
"Belief updating: does the 'good-news, bad-news' asymmetry extend to purely financial domains?,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 31-58.
- Kai Barron, 2021. "Belief updating: does the ‘good-news, bad-news’ asymmetry extend to purely financial domains?," Experimental Economics, Springer;Economic Science Association, vol. 24(1), pages 31-58, March.
- Barron, Kai, 2016. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309, WZB Berlin Social Science Center.
- Barron, Kai, 2019. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309r, WZB Berlin Social Science Center.
- Barron, Kai, 2019. "Belief Updating: Does the \'Good-News, Bad-News\' Asymmetry Extend to Purely Financial Domains?," Rationality and Competition Discussion Paper Series 170, CRC TRR 190 Rationality and Competition.
- Barron, Kai, 2020. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309r2, WZB Berlin Social Science Center.
- Barron, Kai, 2018. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," MPRA Paper 84742, University Library of Munich, Germany.
- Jinzhi Li, 2021. "Bayesian estimation of the stochastic volatility model with double exponential jumps," Review of Derivatives Research, Springer, vol. 24(2), pages 157-172, July.
- A. Hachicha & F. Hachicha, 2021. "Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 647-673, February.
- Florian Eckert & Nina Mühlebach, 2021. "Global and Local Components of Output Gaps," KOF Working papers 21-497, KOF Swiss Economic Institute, ETH Zurich.
- Fateh Belaid & Christophe Rault, 2020.
"Energy Expenditure in Egypt: Empirical Evidence Based on A Quantile Regression Approach,"
Working Papers
1446, Economic Research Forum, revised 20 Dec 2020.
- Fateh BELAID & Christophe RAULT, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," LEO Working Papers / DR LEO 2893, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Fateh Belaid & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," Post-Print hal-03272592, HAL.
- Belaïd, Fateh & Rault, Christophe, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," IZA Discussion Papers 14011, Institute of Labor Economics (IZA).
- Fateh Belaïd & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," CESifo Working Paper Series 8815, CESifo.
- Fateh Bélaïd & Christophe Rault, 2021. "Energy Expenditure in Egypt: Empirical Evidence Based on a Quantile Regression Approach," Post-Print hal-03529106, HAL.
- Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2021. "Robust Dynamic Panel Data Models Using ," Center for Policy Research Working Papers 240, Center for Policy Research, Maxwell School, Syracuse University.
- Didier Nibbering & Coos van Buuren & Wei Wei, 2021. "Real Options Valuation of Wind Energy Based on the Empirical Production Uncertainty," Monash Econometrics and Business Statistics Working Papers 19/21, Monash University, Department of Econometrics and Business Statistics.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021.
"Loss-Based Variational Bayes Prediction,"
Papers
2104.14054, arXiv.org, revised May 2022.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021. "Loss-Based Variational Bayes Prediction," Monash Econometrics and Business Statistics Working Papers 8/21, Monash University, Department of Econometrics and Business Statistics.
- Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020.
"Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs,"
Papers
2008.12706, arXiv.org, revised Dec 2020.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Working Paper Series 2510, European Central Bank.
- Florian, Huber & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Working Papers 2021-01, Joint Research Centre, European Commission.
- Manganelli, Simone, 2021. "Statistical decision functions with judgment," Working Paper Series 2512, European Central Bank.
- Dieppe, Alistair & Francis, Neville & Kindberg-Hanlon, Gene, 2021. "The identification of dominant macroeconomic drivers: coping with confounding shocks," Working Paper Series 2534, European Central Bank.
- Bobasu, Alina & Geis, André & Quaglietti, Lucia & Ricci, Martino, 2021. "Tracking global economic uncertainty: implications for the euro area," Working Paper Series 2541, European Central Bank.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2021.
"Economic Predictions With Big Data: The Illusion of Sparsity,"
Econometrica, Econometric Society, vol. 89(5), pages 2409-2437, September.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E, 2017. "Economic Predictions with Big Data: The Illusion Of Sparsity," CEPR Discussion Papers 12256, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2021. "Economic predictions with big data: the illusion of sparsity," Working Paper Series 2542, European Central Bank.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic Predictions with Big Data: The Illusion of Sparsity," Liberty Street Economics 20180521, Federal Reserve Bank of New York.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic predictions with big data: the illusion of sparsity," Staff Reports 847, Federal Reserve Bank of New York.
- Bańbura, Marta & Brenna, Federica & Paredes, Joan & Ravazzolo, Francesco, 2021. "Combining Bayesian VARs with survey density forecasts: does it pay off?," Working Paper Series 2543, European Central Bank.
- Korobilis, Dimitris & Landau, Bettina & Musso, Alberto & Phella, Anthoulla, 2021. "The time-varying evolution of inflation risks," Working Paper Series 2600, European Central Bank.
- Consolo, Agostino & Foroni, Claudia & Hernández, Catalina Martínez, 2021. "A mixed frequency BVAR for the euro area labour market," Working Paper Series 2601, European Central Bank.
- Ciccarelli, Matteo & Marotta, Fulvia, 2021. "Demand or supply? An empirical exploration of the effects of climate change on the macroeconomy," Working Paper Series 2608, European Central Bank.
- Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020.
"Natural rate chimera and bond pricing reality,"
VfS Annual Conference 2020 (Virtual Conference): Gender Economics
224546, Verein für Socialpolitik / German Economic Association.
- Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
- Claus Brand & Gavin Goy & Wolfgang Lemke, 2020. "Natural Rate Chimera and Bond Pricing Reality," DNB Working Papers 666, Netherlands Central Bank, Research Department.
- Lee, Seungcheol & Luetticke, Ralph & Ravn, Morten O, 2020.
"Financial Frictions: Macro vs Micro Volatility,"
CEPR Discussion Papers
15133, C.E.P.R. Discussion Papers.
- Lee, Seungcheol & Luetticke, Ralph & Ravn, Morten O., 2021. "Financial frictions: micro vs macro volatility," Working Paper Series 2622, European Central Bank.
- Sameh Asim Ajlouni & Moh'd Taleb Alodat, 2021. "Gaussian Process Regression for Forecasting Gasoline Prices in Jordan," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 502-509.
- Merike Kukk & Natalia Levenko, 2021. "Alternative financing and the non-performing loans of the corporate sector in Estonia," Bank of Estonia Working Papers wp2020-6, Bank of Estonia, revised 08 Apr 2021.
- Thu, Le Ha & Leon-Gonzalez, Roberto, 2021. "Forecasting macroeconomic variables in emerging economies," Journal of Asian Economics, Elsevier, vol. 77(C).
- Seibert, Armin & Sirchenko, Andrei & Müller, Gernot, 2021.
"A model for policy interest rates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
- Armin Seibert & Andrei Sirchenko & Gernot Muller, 2018. "A Model for Policy Interest Rates," HSE Working papers WP BRP 192/EC/2018, National Research University Higher School of Economics.
- Chan, Joshua C.C. & Santi, Caterina, 2021. "Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
- Martínez-García, Enrique, 2021.
"Get the lowdown: The international side of the fall in the U.S. natural rate of interest,"
Economic Modelling, Elsevier, vol. 100(C).
- Enrique Martinez-Garcia, 2020. "Get the Lowdown: The International Side of the Fall in the U.S. Natural Rate of Interest," Globalization Institute Working Papers 403, Federal Reserve Bank of Dallas, revised 20 Feb 2021.
- Constantinescu, Mihnea & Nguyen, Anh Dinh Minh, 2021. "A century of gaps: Untangling business cycles from secular trends," Economic Modelling, Elsevier, vol. 100(C).
- Belomestny, Denis & Krymova, Ekaterina & Polbin, Andrey, 2021. "Bayesian TVP-VARX models with time invariant long-run multipliers," Economic Modelling, Elsevier, vol. 101(C).
- Casarin, Roberto & Costantini, Mauro & Paradiso, Antonio, 2021. "On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting," Economic Modelling, Elsevier, vol. 105(C).
- Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021. "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, vol. 105(C).
- Rezitis, Anthony N. & Rokopanos, Andreas & Tsionas, Mike G., 2021. "Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreements," Economic Modelling, Elsevier, vol. 95(C), pages 215-227.
- Sanchez González, Jim & Restrepo-Tobón, Diego & Ramírez Hassan, Andrés, 2021. "Inefficiency and bank failure: A joint Bayesian estimation method of stochastic frontier and hazards models," Economic Modelling, Elsevier, vol. 95(C), pages 344-360.
- Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2021. "Quantifying sovereign risk in the euro area," Economic Modelling, Elsevier, vol. 95(C), pages 76-96.
- Bierut, Beata K. & Dybka, Piotr, 2021. "Increase versus transformation of exports through technological and institutional innovation: Evidence from Bayesian model averaging," Economic Modelling, Elsevier, vol. 99(C).
- Beqiraj, Elton & Fedeli, Silvia & Tancioni, Massimiliano, 2021. "Fiscal retrenchments and the transmission mechanism of the sovereign risk channel for highly indebted countries," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Tsionas, Mike G., 2021. "Comparison of stochastic frontier models using the Hyvärinen factor," Economics Letters, Elsevier, vol. 202(C).
- Glocker, Christian & Piribauer, Philipp, 2021. "The determinants of output losses during the Covid-19 pandemic," Economics Letters, Elsevier, vol. 204(C).
- Pace, R. Kelley & LeSage, James P., 2021. "A simple closed-form relation between spatial weight matrices with different scalings," Economics Letters, Elsevier, vol. 207(C).
- Ciccarelli, Matteo & García, Juan Angel, 2021. "Expectation spillovers and the return of inflation," Economics Letters, Elsevier, vol. 209(C).
- Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021.
"Panel forecasts of country-level Covid-19 infections,"
Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Panel Forecasts of Country-Level Covid-19 Infections," NBER Working Papers 27248, National Bureau of Economic Research, Inc.
- Kaplan, David M. & Zhuo, Longhao, 2021.
"Frequentist properties of Bayesian inequality tests,"
Journal of Econometrics, Elsevier, vol. 221(1), pages 312-336.
- David M. Kaplan & Longhao Zhuo, 2019. "Frequentist properties of Bayesian inequality tests," Working Papers 1910, Department of Economics, University of Missouri.
- Hong, Han & Li, Huiyu & Li, Jessie, 2021. "BLP estimation using Laplace transformation and overlapping simulation draws," Journal of Econometrics, Elsevier, vol. 222(1), pages 56-72.
- Dai, Min & Jia, Yanwei & Kou, Steven, 2021. "The wisdom of the crowd and prediction markets," Journal of Econometrics, Elsevier, vol. 222(1), pages 561-578.
- Mogliani, Matteo & Simoni, Anna, 2021.
"Bayesian MIDAS penalized regressions: Estimation, selection, and prediction,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
- Matteo Mogliani & Anna Simoni, 2019. "Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction," Papers 1903.08025, arXiv.org, revised Jun 2020.
- Matteo Mogliani & Anna Simoni, 2020. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Post-Print hal-03089878, HAL.
- Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
- Doğan, Osman & Taşpınar, Süleyman & Bera, Anil K., 2021. "A Bayesian robust chi-squared test for testing simple hypotheses," Journal of Econometrics, Elsevier, vol. 222(2), pages 933-958.
- 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.
- Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 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.
- Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
- Maffei-Faccioli, Nicolò & Vella, Eugenia, 2021.
"Does immigration grow the pie? Asymmetric evidence from Germany,"
European Economic Review, Elsevier, vol. 138(C).
- Nicolo Maffei-Faccioli & Eugenia Vella, 2021. "Does Immigration Grow the Pie? Asymmetric Evidence from Germany," DEOS Working Papers 2105, Athens University of Economics and Business.
- Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021.
"Bayesian Value-at-Risk backtesting: The case of annuity pricing,"
European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
- Leung, Melvern & Li, Youwei & Pantelous, Athanasios & Vigne, Samuel, 2019. "Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing," MPRA Paper 101698, University Library of Munich, Germany.
- Skevas, Ioannis & Skevas, Theodoros, 2021. "A generalized true random-effects model with spatially autocorrelated persistent and transient inefficiency," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1131-1142.
- Brown, Sarah & Ghosh, Pulak & Pareek, Bhuvanesh & Taylor, Karl, 2021. "The protective role of saving: Bayesian analysis of British panel data," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 57-72.
- Rubaszek, Michał & Szafranek, Karol & Uddin, Gazi Salah, 2021. "The dynamics and elasticities on the U.S. natural gas market. A Bayesian Structural VAR analysis," Energy Economics, Elsevier, vol. 103(C).
- Csereklyei, Zsuzsanna & Anantharama, Nandini & Kallies, Anne, 2021. "Electricity market transitions in Australia: Evidence using model-based clustering," Energy Economics, Elsevier, vol. 103(C).
- Knotek, Edward S. & Zaman, Saeed, 2021.
"Asymmetric responses of consumer spending to energy prices: A threshold VAR approach,"
Energy Economics, Elsevier, vol. 95(C).
- Edward S. Knotek & Saeed Zaman, 2020. "Asymmetric Responses of Consumer Spending to Energy Prices: A Threshold VAR Approach," Working Papers 20-17, Federal Reserve Bank of Cleveland.
- Beutler, Toni & Gubler, Matthias & Hauri, Simona & Kaufmann, Sylvia, 2021. "Bank lending in Switzerland: Driven by business models and exposed to uncertainty," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Moratis, George, 2021. "Quantifying the spillover effect in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 38(C).
- Chon, Sora & Kim, Jaeho, 2021. "Does the Financial Leverage Effect Depend on Volatility Regimes?," Finance Research Letters, Elsevier, vol. 39(C).
- Wan, Yang & He, Shi, 2021. "Dynamic connectedness of currencies in G7 countries: A Bayesian time-varying approach," Finance Research Letters, Elsevier, vol. 41(C).
- Aloui, Donia, 2021. "The COVID-19 pandemic haunting the transmission of the quantitative easing to the exchange rate," Finance Research Letters, Elsevier, vol. 43(C).
- Cheung, Eric C.K. & Ni, Weihong & Oh, Rosy & Woo, Jae-Kyung, 2021. "Bayesian credibility under a bivariate prior on the frequency and the severity of claims," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 274-295.
- Goffard, Pierre-Olivier & Laub, Patrick J., 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 350-371.
- Souto Arias, Luis A. & Cirillo, Pasquale, 2021. "Joint and survivor annuity valuation with a bivariate reinforced urn process," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 174-189.
- Mamatzakis, Emmanuel C. & Ongena, Steven & Tsionas, Mike G., 2021. "Does alternative finance moderate bank fragility? Evidence from the euro area," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- 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.
- 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.
- Çela, Eranda & Hafner, Stephan & Mestel, Roland & Pferschy, Ulrich, 2021. "Mean-variance portfolio optimization based on ordinal information," Journal of Banking & Finance, Elsevier, vol. 122(C).
- Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2021.
"The regional transmission of uncertainty shocks on income inequality in the United States,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 887-900.
- Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2019. "The regional transmission of uncertainty shocks on income inequality in the United States," Working Papers in Regional Science 2019/01, WU Vienna University of Economics and Business.
- Chen, Wanyi, 2021. "Dynamic survival bias in optimal stopping problems," Journal of Economic Theory, Elsevier, vol. 196(C).
- Baltussen, Guido & Swinkels, Laurens & Van Vliet, Pim, 2021. "Global factor premiums," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1128-1154.
- Anbil, Sriya & Vossmeyer, Angela, 2021. "Liquidity from two lending facilities," Journal of Financial Intermediation, Elsevier, vol. 48(C).
- Nishi, Hayato & Asami, Yasushi & Shimizu, Chihiro, 2021. "The illusion of a hedonic price function: Nonparametric interpretable segmentation for hedonic inference," Journal of Housing Economics, Elsevier, vol. 52(C).
- Wang, Bin & Kwan, Yum K., 2021. "Measuring the natural rates of interest of OECD and BRICS economies: A time varying perspective," Journal of International Money and Finance, Elsevier, vol. 112(C).
- Zhang, Ren & Martínez-García, Enrique & Wynne, Mark A. & Grossman, Valerie, 2021.
"Ties that bind: Estimating the natural rate of interest for small open economies,"
Journal of International Money and Finance, Elsevier, vol. 113(C).
- Valerie Grossman & Enrique Martinez-Garcia & Mark A. Wynne & Ren Zhang, 2019. "Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies," Globalization Institute Working Papers 359, Federal Reserve Bank of Dallas, revised 05 Mar 2021.
- Gross, Jonas & Zahner, Johannes, 2021. "What is on the ECB’s mind? Monetary policy before and after the global financial crisis," Journal of Macroeconomics, Elsevier, vol. 68(C).
- Lin, Yi Chun, 2021. "Business cycle fluctuations in Taiwan — A Bayesian DSGE analysis," Journal of Macroeconomics, Elsevier, vol. 70(C).
- Waheed, Farah & Abdul Rashid,, 2021. "Credit frictions, fiscal imbalances, monetary policy autonomy, and monetary policy rules," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
- Nasir, Muhammad Ali, 2021. "Zero Lower Bound and negative interest rates: Choices for monetary policy in the UK," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 200-229.
- Hung, Ngo Thai, 2021. "Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak," Resources Policy, Elsevier, vol. 73(C).
2020
- McAdam, Peter & Warne, Anders, 2020. "Density forecast combinations: the real-time dimension," Working Paper Series 2378, European Central Bank.
- Casalis, André & Krustev, Georgi, 2022.
"Cyclical drivers of euro area consumption: What can we learn from durable goods?,"
Journal of International Money and Finance, Elsevier, vol. 120(C).
- Krustev, Georgi & Casalis, André, 2020. "Cyclical drivers of euro area consumption: what can we learn from durable goods?," Working Paper Series 2386, European Central Bank.
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"Bayesian panel quantile regression for binary outcomes with correlated random effects: an application on crime recidivism in Canada,"
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"Do Central Banks Respond Timely to Developments in the Global Economy?,"
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"Energy Markets and Global Economic Conditions,"
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"Interaction of monetary and fiscal policies in Turkey,"
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"Price and wage inflation persistence across countries and monetary regimes,"
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"Sampling properties of the Bayesian posterior mean with anapplication to WALS estimation,"
EIEF Working Papers Series
2003, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2020.
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"The perception of climate sensitivity: Revealing priors from posteriors,"
ISER Discussion Paper
1111, Institute of Social and Economic Research, Osaka University.
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"Nowcasting in real time using popularity priors,"
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"Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence,"
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2020-08, Federal Reserve Bank of San Francisco.
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"The (ir)relevance of rule-of-thumb consumers for US business cycle fluctuations,"
CAMA Working Papers
2020-102, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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"Bayesian assessment of Lorenz and stochastic dominance,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(2), pages 767-799, May.
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"Forecasting With Dynamic Panel Data Models,"
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"State Dependence In Labor Market Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1027-1072, August.
- Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2020. "State dependence in labour market fluctuations," Working Papers 47, European Stability Mechanism.
- Francesco Zanetti & Carlo Pizzinelli & Konstantinos Theodoridis, 2020. "State Dependence in Labor Market Fluctuations," Economics Series Working Papers 902, University of Oxford, Department of Economics.
- Pizzinelli, Carlo & Theodoridis, Konstantinos & Zanetti, Francesco, 2020. "State Dependence in Labor Market Fluctuations," Cardiff Economics Working Papers E2020/2, Cardiff University, Cardiff Business School, Economics Section.
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"Assessing international commonality in macroeconomic uncertainty and its effects,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 273-293, April.
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- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers 18-03R, Federal Reserve Bank of Cleveland.
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- Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020.
"Exchange rate predictability and dynamic Bayesian learning,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
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- Marcin Błażejowski & Paweł Kufel & Jacek Kwiatkowski, 2020.
"Model simplification and variable selection: A replication of the UK inflation model by Hendry (2001),"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 645-652, August.
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- 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.
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- 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 & Liana Jacobi & Dan Zhu, 2020.
"Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
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"Bond risk premia in consumption‐based models,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
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"Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
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- Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.
- Elmar Mertens & James M. Nason, 2017. "Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility," CAMA Working Papers 2017-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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"Indeterminacy and Imperfect Information,"
2017 Meeting Papers
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"Robust Inference in Time-Varying Structural VAR Models: The DC-Cholesky Multivariate Stochastic Volatility Model,"
VfS Annual Conference 2020 (Virtual Conference): Gender Economics
224528, Verein für Socialpolitik / German Economic Association.
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- Kai Barron, 2021.
"Belief updating: does the ‘good-news, bad-news’ asymmetry extend to purely financial domains?,"
Experimental Economics, Springer;Economic Science Association, vol. 24(1), pages 31-58, March.
- Barron, Kai, 2021. "Belief updating: does the 'good-news, bad-news' asymmetry extend to purely financial domains?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 31-58.
- Barron, Kai, 2016. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309, WZB Berlin Social Science Center.
- Barron, Kai, 2019. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309r, WZB Berlin Social Science Center.
- Barron, Kai, 2019. "Belief Updating: Does the \'Good-News, Bad-News\' Asymmetry Extend to Purely Financial Domains?," Rationality and Competition Discussion Paper Series 170, CRC TRR 190 Rationality and Competition.
- Barron, Kai, 2020. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309r2, WZB Berlin Social Science Center.
- Barron, Kai, 2018. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," MPRA Paper 84742, University Library of Munich, Germany.
- Heinrich, Markus, 2020. "Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach," EconStor Preprints 219312, ZBW - Leibniz Information Centre for Economics.
- Martínez-Hernández, Catalina, 2020. "Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area," Discussion Papers 2020/18, Free University Berlin, School of Business & Economics.
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- Farkas, Mátyás & Tatar, Balint, 2020. "Bayesian estimation of DSGE models with Hamiltonian Monte Carlo," IMFS Working Paper Series 144, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
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"Active, or passive? Revisiting the role of fiscal policy in the Great Inflation,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203609, Verein für Socialpolitik / German Economic Association.
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- Schlösser, Alexander, 2020. "Forecasting industrial production in Germany: The predictive power of leading indicators," Ruhr Economic Papers 838, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Kaeding, Matthias, 2020. "Efficient Bayesian nonparametric hazard regression," Ruhr Economic Papers 850, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
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"Robust inference intime-varying structural VAR models: The DC-Cholesky multivariate stochasticvolatility model,"
Discussion Papers
34/2020, Deutsche Bundesbank.
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"Natural Rate Chimera and Bond Pricing Reality,"
DNB Working Papers
666, Netherlands Central Bank, Research Department.
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- Kai Barron, 2021.
"Belief updating: does the ‘good-news, bad-news’ asymmetry extend to purely financial domains?,"
Experimental Economics, Springer;Economic Science Association, vol. 24(1), pages 31-58, March.
- Barron, Kai, 2021. "Belief updating: does the 'good-news, bad-news' asymmetry extend to purely financial domains?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 31-58.
- Barron, Kai, 2016. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309, WZB Berlin Social Science Center.
- Barron, Kai, 2020. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309r2, WZB Berlin Social Science Center.
- Barron, Kai, 2019. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change SP II 2016-309r, WZB Berlin Social Science Center.
- Barron, Kai, 2019. "Belief Updating: Does the \'Good-News, Bad-News\' Asymmetry Extend to Purely Financial Domains?," Rationality and Competition Discussion Paper Series 170, CRC TRR 190 Rationality and Competition.
- Barron, Kai, 2018. "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," MPRA Paper 84742, University Library of Munich, Germany.
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"Forward Guidance Matters: disentangling monetary policy shocks,"
Working Papers Series
530, Central Bank of Brazil, Research Department.
- Leonardo N. Ferreira, 2020. "Forward Guidance Matters: Disentangling Monetary Policy Shocks," Working Papers 912, Queen Mary University of London, School of Economics and Finance.
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"Monetary Policy and Macroeconomic Stability Revisited,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 255-274, July.
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"Sign restrictions in high-dimensional vector autoregressions,"
Working Papers
2020_21, Business School - Economics, University of Glasgow.
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"A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance,"
Working Paper series
20-27, Rimini Centre for Economic Analysis.
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- OJAGHLOU, Mortaza, 2020. "Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 5(2), pages 17-36, December.
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"The Time-series Linkages between US Fiscal Policy and Asset Prices,"
Public Finance Review, , vol. 48(3), pages 303-339, May.
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- Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller, 2016. "The time-series linkages between US fiscal policy and asset prices," Working papers 2016-15, University of Connecticut, Department of Economics.
- Piotr Dybka, 2020. "One model or many? Exchange rates determinants and their predictive capabilities," Working Papers 2020-053, Warsaw School of Economics, Collegium of Economic Analysis.
- Joonyoung Hur & Jong-Suk Han, 2020. "Effect of Monetary Policy on Government Spending Multiplier," Working Papers 2004, Research Institute for Market Economy, Sogang University.
- Nicolo Maffei Faccioli & Eugenia Vella, 2020. "The Asymmetric Unemployment Response of Natives and Foreigners to Migration Shocks," Working Papers 2020008, The University of Sheffield, Department of Economics.
- Toni Beutler & Matthias Gubler & Simona Hauri & Sylvia Kaufmann, 2020.
"Bank lending in Switzerland: Capturing cross-sectional heterogeneity and asymmetry over time,"
Working Papers
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- Yuheng Ling, 2020. "Time, space and hedonic prediction accuracy: evidence from Corsican apartment markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 64(2), pages 367-388, April.
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- Frank Lad & Giuseppe Sanfilippo, 2020. "Predictive distributions that mimic frequencies over a restricted subdomain," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 17-41, June.
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- Jan Prüser & Alexander Schlösser, 2020. "The effects of economic policy uncertainty on European economies: evidence from a TVP-FAVAR," Empirical Economics, Springer, vol. 58(6), pages 2889-2910, June.
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"A note on the stability of the Swedish Phillips curve,"
Empirical Economics, Springer, vol. 59(6), pages 2573-2612, December.
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"Bayesian inference for TIP curves: an application to child poverty in Germany,"
The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 18(1), pages 91-111, March.
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"State Dependence In Labor Market Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1027-1072, August.
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"Bank lending in Switzerland: Capturing cross-sectional heterogeneity and asymmetry over time,"
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2020-12, Swiss National Bank.
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- Anne Musson & Damien Rousselière, 2020.
"Exploring the effect of crisis on cooperatives: a Bayesian performance analysis of French craftsmen cooperatives,"
Applied Economics, Taylor & Francis Journals, vol. 52(25), pages 2657-2678, May.
- Musson, Anne & Rousselière, Damien, 2018. "Exploring the effect of crisis on cooperatives: A Bayesian performance analysis of French craftsmen cooperatives," Working Papers 279350, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
- Anne, Musson & Damien, Rousselière, 2018. "Exploring the effect of crisis on cooperatives: A Bayesian performance analysis of French craftsmen cooperatives," Working Papers SMART 18-07, INRAE UMR SMART.
- Anne Musson & Damien Rousselière, 2018. "Exploring the effect of crisis on cooperatives: A Bayesian performance analysis of French craftsmen cooperatives," Working Papers hal-01911612, HAL.
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"The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach,"
Applied Economics, Taylor & Francis Journals, vol. 52(5), pages 528-536, January.
- Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019. "The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach," Working Papers 201936, University of Pretoria, Department of Economics.
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"A theory of dichotomous valuation with applications to variable selection,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 1075-1099, November.
- Hu, Xingwei, 2017. "A Theory of Dichotomous Valuation with Applications to Variable Selection," MPRA Paper 80457, University Library of Munich, Germany.
- F. Di Iorio & M. Letizia Giorgetti, 2020.
"Launch of a product and patents: evidence from the US cardiovascular pharmaceutical sector,"
Industry and Innovation, Taylor & Francis Journals, vol. 27(7), pages 789-803, August.
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- Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2020.
"Robust Dynamic Panel Data Models Using e-Contamination,"
IZA Discussion Papers
13214, Institute of Labor Economics (IZA).
- Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2020. "Robust Dynamic Panel Data Models Using ?-contamination," CIRANO Working Papers 2020s-07, CIRANO.
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2021.
"Bayesian panel quantile regression for binary outcomes with correlated random effects: an application on crime recidivism in Canada,"
Empirical Economics, Springer, vol. 60(1), pages 227-259, January.
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," Papers 2001.09295, arXiv.org.
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," CIRANO Working Papers 2020s-08, CIRANO.
- Bresson, Georges & Lacroix, Guy & Arshad Rahman, Mohammad, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," IZA Discussion Papers 12928, Institute of Labor Economics (IZA).
- Beltempo, Marc & Bresson, Georges & Etienne, Jean-Michel & Lacroix, Guy, 2020.
"Infections, Accidents and Nursing Overtime in a Neonatal Intensive Care Unit: A Bayesian Semiparametric Panel Data Logit Model,"
IZA Discussion Papers
13046, Institute of Labor Economics (IZA).
- Marc Beltempo & Georges Bresson & Jean-Michel Etienne & Guy Lacroix, 2020. "Infections, Accidents and Nursing Overtime in a Neonatal Intensive Care Unit: A Bayesian Semiparametric Panel Data Logit Model," CIRANO Working Papers 2020s-15, CIRANO.
- Beltempo, Marc & Bresson, Georges & Lacroix, Guy, 2020.
"Using Machine Learning to Predict Nosocomial Infections and Medical Accidents in a NICU,"
IZA Discussion Papers
13099, Institute of Labor Economics (IZA).
- Marc Beltempo & Georges Bresson & Guy Lacroix, 2020. "Using Machine Learning to Predict Nosocomial Infections and Medical Accidents in a NICU," CIRANO Working Papers 2020s-21, CIRANO.
- Audzei, Volha & Brůha, Jan, 2022.
"A model of the Euro area, China, and the United States: Trade links and trade wars,"
Economic Modelling, Elsevier, vol. 111(C).
- Volha Audzei & Jan Bruha, 2020. "A Model of the Euro Area, China and the United States: Trade Links and Trade Wars," Working Papers 2020/6, Czech National Bank.
- Jose Miguel Tirado-Beltrán & José David Cabedo & Dennis Esther Muñoz-Ramírez, 2020. "Risk Disclosure and Cost of Equity: A Bayesian Approach," Revista CEA, Instituto Tecnológico Metropolitano, vol. 6(11), pages 25-43, January.
- Jose Miguel Tirado-Beltrán & José David Cabedo & Dennis Esther Muñoz-Ramírez, 2020. "Divulgación de información sobre riesgos y coste de los recursos propios: un enfoque bayesiano," Revista CEA, Instituto Tecnológico Metropolitano, vol. 6(11), pages 25-43, January.
- Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.
- Giovanni Di Bartolomeo & Marco Di Pietro, 2017.
"Intrinsic Persistence of Wage Inflation in New Keynesian Models of the Business Cycles,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(6), pages 1161-1195, September.
- Di Bartolomeo Giovanni & Di Pietro Marco, 2015. "Intrinsic persistence of wage inflation in New Keynesian models of the business cycles," wp.comunite 0118, Department of Communication, University of Teramo.
- Di Bartolomeo, Giovanni & Di Pietro, Marco, 2020. "Intrinsic persistence of wage inflation in New Keynesian models of the business cycles," Dynare Working Papers 55, CEPREMAP.
- Van Nguyen, Phuong, 2020. "Evaluating the forecasting accuracy of the closed- and open economy New Keynesian DSGE models," Dynare Working Papers 59, CEPREMAP.
- Aliaga Miranda, Augusto, 2020. "Monetary policy rules for an open economy with financial frictions: A Bayesian approach," Dynare Working Papers 62, CEPREMAP.
- Christian Bayer & Ralph Luetticke, 2019.
"Shocks, Frictions, and Inequality in US Business Cycles,"
2019 Meeting Papers
256, Society for Economic Dynamics.
- Bayer, Christian & Born, Benjamin & Luetticke, Ralph, 2020. "Shocks, Frictions, and Inequality in US Business Cycles," CEPR Discussion Papers 14364, C.E.P.R. Discussion Papers.
- Christian Bayer & Benjamin Born & Ralph Luetticke, 2020. "Shocks, Frictions, and Inequality in US Business Cycles," Discussion Papers 2003, Centre for Macroeconomics (CFM).
- Christian Bayer & Benjamin Born & Ralph Luetticke, 2020. "Shocks, Frictions, and Inequality in US Business Cycles," CESifo Working Paper Series 8085, CESifo.
- Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2020.
"Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence,"
Working Paper Series
2020-08, Federal Reserve Bank of San Francisco.
- Hoesch, Lukas & Rossi, Barbara & Sekhposyan, Tatevik, 2020. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," CEPR Discussion Papers 14456, C.E.P.R. Discussion Papers.
- Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2020. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," Working Papers 1158, Barcelona Graduate School of Economics.
- Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2020. "Has the information channel of monetary policy disappeared? Revisiting the empirical evidence," Economics Working Papers 1701, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
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"Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime Switching Approach,"
2017 Meeting Papers
572, Society for Economic Dynamics.
- Benigno, Gianluca & Foerster, Andrew & Otrok, Christopher & Rebucci, Alessandro, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," CEPR Discussion Papers 14545, C.E.P.R. Discussion Papers.
- Gianluca Benigno & Andrew Foerster & Christopher Otrok & Alessandro Rebucci, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," Working Paper Series 2020-10, Federal Reserve Bank of San Francisco.
- Gianluca Benigno & Andrew T. Foerster & Christopher Otrok & Alessandro Rebucci, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," Staff Reports 944, Federal Reserve Bank of New York.
- Gianluca Benigno & Andrew Foerster & Christopher Otrok & Alessandro Rebucci, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," NBER Working Papers 26935, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020.
"Energy Markets and Global Economic Conditions,"
CESifo Working Paper Series
8282, CESifo.
- Baumeister, Christiane & Korobilis, Dimitris & Lee, Thomas K., 2020. "Energy Markets and Global Economic Conditions," CEPR Discussion Papers 14580, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," NBER Working Papers 27001, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," Working Papers 2020_08, Business School - Economics, University of Glasgow.
- Christiane Baumeister & James D. Hamilton, 2020.
"Advances in Structural Vector Autoregressions with Imperfect Identifying Information,"
NBER Working Papers
27014, National Bureau of Economic Research, Inc.
- Baumeister, Christiane & Hamilton, James, 2020. "Advances in Structural Vector Autoregressions with Imperfect Identifying Information," CEPR Discussion Papers 14603, C.E.P.R. Discussion Papers.
- Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2020. "Panel Forecasts of Country-Level Covid-19 Infectionsliu," CEPR Discussion Papers 14790, C.E.P.R. Discussion Papers.
- Christian Bayer & Benjamin Born & Ralph Luetticke, 2020.
"The Liquidity Channel of Fiscal Policy,"
CESifo Working Paper Series
8374, CESifo.
- Bayer, Christian & Born, Benjamin & Luetticke, Ralph, 2020. "The Liquidity Channel of Fiscal Policy," CEPR Discussion Papers 14883, C.E.P.R. Discussion Papers.
- Christian Bayer & Benjamin Born & Ralph Luetticke, 2021. "The Liquidity Channel of Fiscal Policy," ifo Working Paper Series 351, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Lee, Seungcheol & Luetticke, Ralph & Ravn, Morten O, 2020.
"Financial Frictions: Macro vs Micro Volatility,"
CEPR Discussion Papers
15133, C.E.P.R. Discussion Papers.
- Lee, Seungcheol & Luetticke, Ralph & Ravn, Morten O., 2021. "Financial frictions: micro vs macro volatility," Working Paper Series 2622, European Central Bank.
- Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2021.
"Estimating DSGE Models: Recent Advances and Future Challenges,"
Annual Review of Economics, Annual Reviews, vol. 13(1), pages 229-252, August.
- Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2020. "Estimating DSGE Models: Recent Advances and Future Challenges," NBER Working Papers 27715, National Bureau of Economic Research, Inc.
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- Michele Lenza & Giorgio E. Primiceri, 2020.
"How to Estimate a VAR after March 2020,"
NBER Working Papers
27771, National Bureau of Economic Research, Inc.
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- Lenza, Michele & Primiceri, Giorgio E., 2020. "How to estimate a VAR after March 2020," Working Paper Series 2461, European Central Bank.
- Christoph K. Becker & Tigran Melkonyan & Eugenio Proto & Andis Sofianos & Stefan T. Trautmann, 2020.
"Reverse Bayesianism: Revising Beliefs in Light of Unforeseen Events,"
CESifo Working Paper Series
8662, CESifo.
- Becker, Christoph & Melkonyan, Tigran & Proto, Eugenio & Sofianos, Andis & Trautmann, Stefan, 2020. "Reverse Bayesianism: Revising Beliefs in Light of Unforeseen Events," CEPR Discussion Papers 15477, C.E.P.R. Discussion Papers.
- Becker, Christoph K. & Melkonyan, Tigran & Proto, Eugenio & Sofianos, Andis & Trautmann, Stefan T., 2020. "Reverse Bayesianism: Revising Beliefs in Light of Unforeseen Events," IZA Discussion Papers 13821, Institute of Labor Economics (IZA).
- Mauricio Beltrán Pascual & Francisco Javier Martínez de Pisón Ascacíbar & uan Antonio Vicente Vírseda, 2020. "Tratamiento de clases desbalanceadas con el método del cubo en problemas de credit scoring a través de la minería de datos," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 43(122), pages 175-190, Mayo.
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"Heterogeneity In Wage Setting Behavior In A New-Keynesian Model,"
Macroeconomic Dynamics, Cambridge University Press, vol. 24(6), pages 1512-1546, September.
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- Eijffinger, S.C.W. & Grajales Olarte, A. & Uras, R.B., 2015. "Heterogeneity in Wage Setting Behavior in a New-Keynesian Model," Discussion Paper 2015-024, Tilburg University, Center for Economic Research.
- Eijffinger, S.C.W. & Grajales Olarte, A. & Uras, R.B., 2015. "Heterogeneity in Wage Setting Behavior in a New-Keynesian Model," Other publications TiSEM cd9bb586-72f4-47d0-94e0-1, Tilburg University, School of Economics and Management.
- Stephanie Ettmeier & Alexander Kriwoluzky, 2020. "Active, or Passive? Revisiting the Role of Fiscal Policy in the Great Inflation," Discussion Papers of DIW Berlin 1872, DIW Berlin, German Institute for Economic Research.
- Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020.
"Natural rate chimera and bond pricing reality,"
VfS Annual Conference 2020 (Virtual Conference): Gender Economics
224546, Verein für Socialpolitik / German Economic Association.
- Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
- Claus Brand & Gavin Goy & Wolfgang Lemke, 2020. "Natural Rate Chimera and Bond Pricing Reality," DNB Working Papers 666, Netherlands Central Bank, Research Department.
- Masako Ikefuji & Jan R. Magnus, 2020.
"The perception of climate sensitivity: Revealing priors from posteriors,"
Tinbergen Institute Discussion Papers
20-046/III, Tinbergen Institute.
- Masako Ikefuji & Jan R. Magnus, 2020. "The perception of climate sensitivity: Revealing priors from posteriors," ISER Discussion Paper 1111, Institute of Social and Economic Research, Osaka University.
- Karlsson, Sune & Mazur, Stepan, 2020. "Flexible Fat-tailed Vector Autoregression," Working Papers 2020:5, Örebro University, School of Business.
- Corbo, Vesna & Strid, Ingvar, 2020. "MAJA: A two-region DSGE model for Sweden and its main trading partners," Working Paper Series 391, Sveriges Riksbank (Central Bank of Sweden).
- Morita, Hiroshi, 2020. "Fiscal multipliers in the most aged country: Empirical evidence and theoretical interpretation," Discussion paper series HIAS-E-100, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Jelena Rkman, 2020. "An Estimated Search and Matching Model of the Croatian Labor Market: Post-crisis Analysis," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 22(2), pages 35-72, December.
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"Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective,"
Papers
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- Laura Liu, 2020. "Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective," CAEPR Working Papers 2020-003, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Laura Liu, 2018. "Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective," Finance and Economics Discussion Series 2018-036, Board of Governors of the Federal Reserve System (U.S.).
- Xin Wei, 2020. "Dynamic Expectations Formation and U.S. Monetary Policy Regime Change," CAEPR Working Papers 2020-007, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2021.
"Bayesian panel quantile regression for binary outcomes with correlated random effects: an application on crime recidivism in Canada,"
Empirical Economics, Springer, vol. 60(1), pages 227-259, January.
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," Papers 2001.09295, arXiv.org.
- Bresson, Georges & Lacroix, Guy & Arshad Rahman, Mohammad, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," IZA Discussion Papers 12928, Institute of Labor Economics (IZA).
- Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," CIRANO Working Papers 2020s-08, CIRANO.
- Marc Beltempo & Georges Bresson & Jean-Michel Etienne & Guy Lacroix, 2020.
"Infections, Accidents and Nursing Overtime in a Neonatal Intensive Care Unit: A Bayesian Semiparametric Panel Data Logit Model,"
CIRANO Working Papers
2020s-15, CIRANO.
- Beltempo, Marc & Bresson, Georges & Etienne, Jean-Michel & Lacroix, Guy, 2020. "Infections, Accidents and Nursing Overtime in a Neonatal Intensive Care Unit: A Bayesian Semiparametric Panel Data Logit Model," IZA Discussion Papers 13046, Institute of Labor Economics (IZA).
- Marc Beltempo & Georges Bresson & Guy Lacroix, 2020.
"Using Machine Learning to Predict Nosocomial Infections and Medical Accidents in a NICU,"
CIRANO Working Papers
2020s-21, CIRANO.
- Beltempo, Marc & Bresson, Georges & Lacroix, Guy, 2020. "Using Machine Learning to Predict Nosocomial Infections and Medical Accidents in a NICU," IZA Discussion Papers 13099, Institute of Labor Economics (IZA).
- Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2020.
"Robust Dynamic Panel Data Models Using ?-contamination,"
CIRANO Working Papers
2020s-07, CIRANO.
- Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2020. "Robust Dynamic Panel Data Models Using e-Contamination," IZA Discussion Papers 13214, Institute of Labor Economics (IZA).
- Xiaoxue Sherry Gao & Glenn W. Harrison & Rusty Tchernis, 2020.
"Behavioral Welfare Economics and Risk Preferences: A Bayesian Approach,"
NBER Working Papers
27685, National Bureau of Economic Research, Inc.
- Gao, Xiaoxue Sherry & Harrison, Glenn & Tchernis, Rusty, 2020. "Behavioral Welfare Economics and Risk Preferences: A Bayesian Approach," IZA Discussion Papers 13580, Institute of Labor Economics (IZA).
- Christoph K. Becker & Tigran Melkonyan & Eugenio Proto & Andis Sofianos & Stefan T. Trautmann, 2020.
"Reverse Bayesianism: Revising Beliefs in Light of Unforeseen Events,"
CESifo Working Paper Series
8662, CESifo.
- Becker, Christoph K. & Melkonyan, Tigran & Proto, Eugenio & Sofianos, Andis & Trautmann, Stefan T., 2020. "Reverse Bayesianism: Revising Beliefs in Light of Unforeseen Events," IZA Discussion Papers 13821, Institute of Labor Economics (IZA).
- Becker, Christoph & Melkonyan, Tigran & Proto, Eugenio & Sofianos, Andis & Trautmann, Stefan, 2020. "Reverse Bayesianism: Revising Beliefs in Light of Unforeseen Events," CEPR Discussion Papers 15477, C.E.P.R. Discussion Papers.
- Mariam Camarero & Sergi Moliner & Cecilio Tamarit, 2021.
"Is there a euro effect in the drivers of US FDI? New evidence using Bayesian model averaging techniques,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(4), pages 881-926, November.
- Mariam Camarero & Sergi Moliner & Cecilio Tamarit, 2020. "Is there a euro effect in the drivers of US FDI? New evidence using Bayesian Model Averaging techniques," Working Papers 2020/25, Economics Department, Universitat Jaume I, Castellón (Spain).
- Masahiro Tanaka, 2020. "Bayesian Inference of Local Projections with Roughness Penalty Priors," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 629-651, February.
- Sanha Noh, 2020. "Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 795-841, December.
- Nicolas Lampach & Arthur Dyevre, 2020. "Choosing for Europe: judicial incentives and legal integration in the European Union," European Journal of Law and Economics, Springer, vol. 50(1), pages 65-86, August.
- Narcissa Balta & Bořek Vašíček, 2020. "Financial channels and economic activity in the euro area: a large-scale Bayesian VAR approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(2), pages 431-451, May.
- Omar Chafik, 2020. "The amplifier/divider mechanism of the financial cycle," International Economics and Economic Policy, Springer, vol. 17(2), pages 363-380, May.
- James Paul LeSage, 2020. "Fast MCMC estimation of multiple W-matrix spatial regression models and Metropolis–Hastings Monte Carlo log-marginal likelihoods," Journal of Geographical Systems, Springer, vol. 22(1), pages 47-75, January.
- Chun-kei Tsang & Sung-ko Li, 2020. "Allocation of resources within subgroups of an industry: a case study in the Chinese industrial sector," Journal of Productivity Analysis, Springer, vol. 53(1), pages 125-139, February.
- Tjeerd M. Boonman & Andrea E. Sanchez Urbina, 2020. "Extreme Bounds Analysis in Early Warning Systems for Currency Crises," Open Economies Review, Springer, vol. 31(2), pages 431-470, April.
- Max J. Pachali & Peter Kurz & Thomas Otter, 2020. "How to generalize from a hierarchical model?," Quantitative Marketing and Economics (QME), Springer, vol. 18(4), pages 343-380, December.
- Hyowon Kim & Dong Soo Kim & Greg M. Allenby, 2020. "Benefit Formation and Enhancement," Quantitative Marketing and Economics (QME), Springer, vol. 18(4), pages 419-468, December.
- Robin Braun & Ralf Brüggemann, 2020. "Identification of SVAR Models by Combining Sign Restrictions With External Instruments," Working Paper Series of the Department of Economics, University of Konstanz 2020-01, Department of Economics, University of Konstanz.
- Florian Eckert & Philipp Kronenberg & Heiner Mikosch & Stefan Neuwirth, 2020. "Tracking Economic Activity With Alternative High-Frequency Data," KOF Working papers 20-488, KOF Swiss Economic Institute, ETH Zurich.
- Svatopluk Kapounek & Zuzana Kucerova & Evzen Kocenda, 2020.
"Selective Attention in Exchange Rate Forecasting,"
Working Papers IES
2020/42, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2020.
- Svatopluk Kapounek & Zuzana Kucerova & Evzen Kocenda, 2020. "Selective Attention in Exchange Rate Forecasting," KIER Working Papers 1035, Kyoto University, Institute of Economic Research.
- Svatopluk Kapounek & Evžen Kocenda & Zuzana Kucerová, 2021. "Selective Attention in Exchange Rate Forecasting," CESifo Working Paper Series 8901, CESifo.
- Yuheng Ling & Claudio Detotto & Dominique Prunetti, 2020. "Spatio-Temporal Modeling of second homes dynamics in Corsica," Working Papers 014, Laboratoire Lieux, Identités, eSpaces et Activités (LISA).
- Mahniya Zafar & Naved Hamid & Fatima Arshad, 2020. "Are Agricultural Markets in the Punjab Technically Efficient?," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 25(1), pages 89-138, Jan-June.
- Jonas Gross & Johannes Zahner, 2020. "What's on the ECB's mind? - Monetary policy before and after the global financial crisis," MAGKS Papers on Economics 202008, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- David Finck & Paul Rudel, 2020. "Do Credit Supply Shocks Have Asymmetric Effects?," MAGKS Papers on Economics 202026, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Badi H. Baltagi & Georges Bresson & Jean-Michel Etienne, 2020.
"Growth Empirics: a Bayesian Semiparametric Model With Random Coefficients for a Panel of OECD Countries,"
Advances in Econometrics, in: Tong Li & M. Hashem Pesaran & Dek Terrell (ed.), Essays in Honor of Cheng Hsiao, volume 41, pages 217-253,
Emerald Publishing Ltd.
- Badi Baltagi & Georges Bresson & Jean-Michel Etienne, 2020. "Growth Empirics: A Bayesian Semiparametric Model with Random Coefficients for a Panel of OECD Countries," Center for Policy Research Working Papers 229, Center for Policy Research, Maxwell School, Syracuse University.
- Jonah B. Gelbach & Jenny R. Hawkins, 2020. "A Bayesian Approach to Event Studies for Securities Litigation," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 176(1), pages 86-111.
- Alice Albonico & Guido Ascari & Qazi Haque, 2020.
"The (ir)relevance of rule-of-thumb consumers for US business cycle fluctuations,"
CAMA Working Papers
2020-102, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alice Albonico & Guido Ascari & Qazi Haque, 2020. "The (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations," Working Papers 453, University of Milano-Bicocca, Department of Economics.
- Alice Albonico & Guido Ascari & Qazi Haque, 2020. "The (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations," Economics Discussion / Working Papers 20-26, The University of Western Australia, Department of Economics.
- Germano Ruisi, 2020. "An Assessment of the Macroeconomic Implications of Foreign and Domestic Labour Supply Shocks in Malta," CBM Working Papers WP/06/2020, Central Bank of Malta.
- William Gatt & Germano Ruisi, 2020. "Housing demand shocks, foreign labour inflows and consumption," CBM Working Papers WP/07/2020, Central Bank of Malta.
- Barnabás Székely, 2020. "Funding for lending schemes should prioritize SME lending," MNB Occasional Papers 2020/138, Magyar Nemzeti Bank (Central Bank of Hungary).
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021.
"Focused Bayesian prediction,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
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2017 Meeting Papers
572, Society for Economic Dynamics.
- Gianluca Benigno & Andrew Foerster & Christopher Otrok & Alessandro Rebucci, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," NBER Working Papers 26935, National Bureau of Economic Research, Inc.
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- Benigno, Gianluca & Foerster, Andrew & Otrok, Christopher & Rebucci, Alessandro, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," CEPR Discussion Papers 14545, C.E.P.R. Discussion Papers.
- Gianluca Benigno & Andrew Foerster & Christopher Otrok & Alessandro Rebucci, 2020. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach," Working Paper Series 2020-10, Federal Reserve Bank of San Francisco.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020.
"Energy Markets and Global Economic Conditions,"
Working Papers
2020_08, Business School - Economics, University of Glasgow.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," NBER Working Papers 27001, National Bureau of Economic Research, Inc.
- Baumeister, Christiane & Korobilis, Dimitris & Lee, Thomas K., 2020. "Energy Markets and Global Economic Conditions," CEPR Discussion Papers 14580, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," CESifo Working Paper Series 8282, CESifo.
- Baumeister, Christiane & Hamilton, James, 2020.
"Advances in Structural Vector Autoregressions with Imperfect Identifying Information,"
CEPR Discussion Papers
14603, C.E.P.R. Discussion Papers.
- Christiane Baumeister & James D. Hamilton, 2020. "Advances in Structural Vector Autoregressions with Imperfect Identifying Information," NBER Working Papers 27014, National Bureau of Economic Research, Inc.
- Shomesh Chaudhuri & Andrew W. Lo & Danying Xiao & Qingyang Xu, 2020. "Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks," NBER Working Papers 27175, National Bureau of Economic Research, Inc.
- Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021.
"Panel forecasts of country-level Covid-19 infections,"
Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Panel Forecasts of Country-Level Covid-19 Infections," NBER Working Papers 27248, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Karen Kopecky & Tao Zha, 2020. "Estimating and Forecasting Disease Scenarios for COVID-19 with an SIR Model," NBER Working Papers 27335, National Bureau of Economic Research, Inc.
- Gao, Xiaoxue Sherry & Harrison, Glenn & Tchernis, Rusty, 2020.
"Behavioral Welfare Economics and Risk Preferences: A Bayesian Approach,"
IZA Discussion Papers
13580, Institute of Labor Economics (IZA).
- Xiaoxue Sherry Gao & Glenn W. Harrison & Rusty Tchernis, 2020. "Behavioral Welfare Economics and Risk Preferences: A Bayesian Approach," NBER Working Papers 27685, National Bureau of Economic Research, Inc.
- Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2021.
"Estimating DSGE Models: Recent Advances and Future Challenges,"
Annual Review of Economics, Annual Reviews, vol. 13(1), pages 229-252, August.
- Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2020. "Estimating DSGE Models: Recent Advances and Future Challenges," CEPR Discussion Papers 15164, C.E.P.R. Discussion Papers.
- Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2020. "Estimating DSGE Models: Recent Advances and Future Challenges," NBER Working Papers 27715, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Karen A. Kopecky & Tao Zha, 2020.
"Four Stylized Facts about COVID-19,"
FRB Atlanta Working Paper
2020-15, Federal Reserve Bank of Atlanta.
- Andrew Atkeson & Karen Kopecky & Tao Zha, 2020. "Four Stylized Facts about COVID-19," NBER Working Papers 27719, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Karen A. Kopecky & Tao Zha, 2020. "Four Stylized Facts about COVID-19," Staff Report 611, Federal Reserve Bank of Minneapolis.
- Qian Chen & Christoffer Koch & Gary Richardson & Padma Sharma, 2020.
"Payments Crises and Consequences,"
Research Working Paper
RWP 20-10, Federal Reserve Bank of Kansas City.
- Qian Chen & Christoffer Koch & Padma Sharma & Gary Richardson, 2020. "Payments Crises and Consequences," NBER Working Papers 27733, National Bureau of Economic Research, Inc.
- Lenza, Michele & Primiceri, Giorgio E, 2020.
"How to Estimate a VAR after March 2020,"
CEPR Discussion Papers
15245, C.E.P.R. Discussion Papers.
- Michele Lenza & Giorgio E. Primiceri, 2020. "How to Estimate a VAR after March 2020," NBER Working Papers 27771, National Bureau of Economic Research, Inc.
- Lenza, Michele & Primiceri, Giorgio E., 2020. "How to estimate a VAR after March 2020," Working Paper Series 2461, European Central Bank.
- Rosen Valchev & Cosmin Ilut, 2017.
"Economic Agents as Imperfect Problem Solvers,"
2017 Meeting Papers
1285, Society for Economic Dynamics.
- Cosmin L. Ilut & Rosen Valchev, 2020. "Economic Agents as Imperfect Problem Solvers," NBER Working Papers 27820, National Bureau of Economic Research, Inc.
- Joshua D. Angrist & Peter Hull & Parag Pathak & Christopher Walters, 2020.
"Simple and Credible Value-Added Estimation Using Centralized School Assignment,"
Working Papers
2020-186, Becker Friedman Institute for Research In Economics.
- Joshua Angrist & Peter Hull & Parag A. Pathak & Christopher R. Walters, 2020. "Simple and Credible Value-Added Estimation Using Centralized School Assignment," NBER Working Papers 28241, National Bureau of Economic Research, Inc.
- Dennis Guignet & Christoper Moore & Haoluan Wang, 2020. "Hot Spots, Cold Feet, and Warm Glow: Identifying Spatial Heterogeneity in Willingness to Pay," NCEE Working Paper Series 202001, National Center for Environmental Economics, U.S. Environmental Protection Agency.
- Remzi Baris Tercioglu, 2020. "A sectoral approach to measuring output gap: Evidence from 20 US sectors over 1948-2019," Working Papers 2012, New School for Social Research, Department of Economics, revised Jun 2021.
- Brian Hartley, 2020. "Corridor stability of the Kaleckian growth model: a Markov-switching approach," Working Papers 2013, New School for Social Research, Department of Economics, revised Nov 2020.
- Joshua Chan & Arnaud Doucet & Roberto León-González & Rodney W. Strachan, 2018.
"Multivariate Stochastic Volatility with Co-Heteroscedasticity,"
Working Paper series
18-38, Rimini Centre for Economic Analysis.
- CHAN Joshua & DOUCET Arnaud & Roberto Leon-Gonzalez & STRACHAN Rodney W., 2020. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 20-09, National Graduate Institute for Policy Studies.
- Joshua Chan & Arnaud Doucet & Roberto León-González & Rodney W. Strachan, 2018. "Multivariate stochastic volatility with co-heteroscedasticity," CAMA Working Papers 2018-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 18-12, National Graduate Institute for Policy Studies.
- Adrien Papuchon, 2020. "Have Young Adults’ Opinions on the Social Role of the State Changed since the 2008 Economic Crisis?," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Études Économiques (INSEE), issue 514-515-5, pages 175-198.
- Vianney Costemalle, 2020. "Bayesian Probabilistic Population Projections for France," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Études Économiques (INSEE), issue 520-521, pages 29-47.
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020.
"Computationally efficient inference in large Bayesian mixed frequency VARs,"
Economics Letters, Elsevier, vol. 191(C).
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated". "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics 20/02, Division of Economics, School of Business, University of Leicester.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020. "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
- Paulo Chahuara, 2020. "Análisis Empírico de la Relación entre Competencia e Inversión en el Servicio de Telefonía Móvil Peruano," Documentos de Trabajo 42, OSIPTEL.
- Brown, Alexander L. & Imai, Taisuke & Vieider, Ferdinand & Camerer, Colin, 2020.
"Meta-Analysis of Empirical Estimates of Loss-Aversion,"
MetaArXiv
hnefr, Center for Open Science.
- Alexander, L. Brown & Taisuke Imai & Ferdinand M. Vieider & Colin Camerer, 2021. "Meta-Analysis of Empirical Estimates of Loss-Aversion," CESifo Working Paper Series 8848, CESifo.
- Patrick Mokre & Miriam Rehm, 2020.
"Inter-industry wage inequality: persistent differences and turbulent equalisation,"
Cambridge Journal of Economics, Oxford University Press, vol. 44(4), pages 919-942.
- Patrick Mokre & Miriam Rehm, 2018. "Inter-Industry Wage Inequality: Persistent differences and turbulent equalization," Working Papers 1818, New School for Social Research, Department of Economics.
- Kiyoyasu Tanaka & Yoshihiro Hashiguchi, 2020. "Agglomeration economies in the formal and informal sectors: a Bayesian spatial approach‡," Journal of Economic Geography, Oxford University Press, vol. 20(1), pages 37-66.
- Simon C Smith & George Bulkley & David S Leslie, 2020. "Equity Premium Forecasts with an Unknown Number of Structural Breaks [Tests for Parameter Instability and Structural Change with Unknown Change Point]," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 18(1), pages 59-94.
- Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2020.
"State Dependence In Labor Market Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1027-1072, August.
- Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2020. "State dependence in labour market fluctuations," Working Papers 47, European Stability Mechanism.
- Francesco Zanetti & Carlo Pizzinelli & Konstantinos Theodoridis, 2020. "State Dependence in Labor Market Fluctuations," Economics Series Working Papers 902, University of Oxford, Department of Economics.
- Pizzinelli, Carlo & Theodoridis, Konstantinos & Zanetti, Francesco, 2020. "State Dependence in Labor Market Fluctuations," Cardiff Economics Working Papers E2020/2, Cardiff University, Cardiff Business School, Economics Section.
- Vargas-Sánchez, Jhon Jairo & Causado, Edwin & Mercado, Hugo, 2020. "Estimadores Bayesianos de distribuciones Weibull aplicados a un modelo de líneas de espera G/G/s || Bayesian estimators of Weibull distributions applied to a model of waiting lines G/G/s," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 142-162, December.
- Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
- Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022.
"Modeling risk contagion in the Italian zonal electricity market,"
European Journal of Operational Research, Elsevier, vol. 298(2), pages 656-679.
- Daniel Felix Ahelegbey & Emmanuel Senyo Fianu & Luigi Grossi, 2020. "Modeling Risk Contagion in the Italian Zonal Electricity Market," DEM Working Papers Series 182, University of Pavia, Department of Economics and Management.
- Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series 188, University of Pavia, Department of Economics and Management.
- Daniel Felix Ahelegbey & Oyakhilome Wallace Ibhagui, 2020. "Interconnected Deviations from Covered Interest Parity," DEM Working Papers Series 191, University of Pavia, Department of Economics and Management.
- Ahelegbey, Daniel Felix & Giudici, Paolo, 2022.
"NetVIX — A network volatility index of financial markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
- Daniel Felix Ahelegbey & Paolo Giudici, 2020. "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series 192, University of Pavia, Department of Economics and Management.
- Daniel Felix Ahelegbey, 2020. "A Statistical Measure of Global Equity Market Risk," DEM Working Papers Series 194, University of Pavia, Department of Economics and Management.
- Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
- Jefferson Martínez & Gabriel Rodríguez, 2020. "Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru," Documentos de Trabajo / Working Papers 2020-483, Departamento de Economía - Pontificia Universidad Católica del Perú.
- 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.
- 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.
- Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2020.
"Robust Forecasting,"
Papers
2011.03153, arXiv.org, revised Dec 2020.
- Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Robust Forecasting," PIER Working Paper Archive 20-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2020.
"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
Working Papers
20-26, Federal Reserve Bank of Philadelphia.
- Schorfheide, Frank & Song, Dongo, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
- Gary Koop & Dimitris Korobilis, 2018.
"Bayesian dynamic variable selection in high dimensions,"
Papers
1809.03031, arXiv.org, revised May 2020.
- Korobilis, Dimitris & Koop, Gary, 2020. "Bayesian dynamic variable selection in high dimensions," MPRA Paper 100164, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2020. "Bayesian dynamic variable selection in high dimensions," Working Papers 2020_11, Business School - Economics, University of Glasgow.
- Dimitris Korobilis & Davide Pettenuzzo, 2020.
"Machine Learning Econometrics: Bayesian algorithms and methods,"
Working Papers
2020_09, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris & Pettenuzzo, Davide, 2020. "Machine Learning Econometrics: Bayesian algorithms and methods," MPRA Paper 100165, University Library of Munich, Germany.
- Dimitris Korobilis & Davide Pettenuzzo, 2020. "Machine Learning Econometrics: Bayesian algorithms and methods," Papers 2004.11486, arXiv.org.
- Dimitris Korobilis & Davide Pettenuzzo, 2020. "Machine Learning Econometrics: Bayesian algorithms and methods," Working Papers 130, Brandeis University, Department of Economics and International Businesss School.
- Aliaga Miranda, Augusto, 2020.
"Reglas de política monetaria para una economía abierta con fricciones financieras
[Monetary policy rules for an open economy with financial friction]," MPRA Paper 100545, University Library of Munich, Germany. - Aliaga, Augusto, 2020. "Reglas de política monetaria para una economía abierta con fricciones financieras: Un enfoque Bayesiano [Monetary policy rules for an open economy with financial frictions: A Bayesian approach]," MPRA Paper 100604, University Library of Munich, Germany.
- Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020. "Forecasting transaction counts with integer-valued GARCH models," MPRA Paper 101779, University Library of Munich, Germany, revised 11 Jul 2020.
- Jemio Hurtado, Valeria, 2020. "Monetary rules in an open economy with distortionary subsidies and inefficient shocks: A DSGE approach for Bolivia," MPRA Paper 102374, University Library of Munich, Germany, revised 14 Jul 2020.
- Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
- Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021.
"Bull and bear markets during the COVID-19 pandemic,"
Finance Research Letters, Elsevier, vol. 42(C).
- John M. Maheu & Thomas H. McCurdy & Yong Song, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," Papers 2012.01623, arXiv.org.
- Maheu, John M & McCurdy, Thomas H & Song, Yong, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," MPRA Paper 104504, University Library of Munich, Germany.
- Mansur, Alfan, 2020. "Shocks and Frictions in US Business Cycle: A Bayesian DSGE Approach," MPRA Paper 104546, University Library of Munich, Germany, revised 24 Oct 2020.
- 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.
- Fajar, Muhammad & Winarti, Yuyun Guna, 2020. "Modeling of Big Chili Supply Response Using Bayesian Method," MPRA Paper 106098, University Library of Munich, Germany, revised 21 Dec 2020.
- Adeniyi, Isaac Adeola & Yahya, Waheed Babatunde, 2020. "Bayesian Generalized Linear Mixed Effects Models Using Normal-Independent Distributions: Formulation and Applications," MPRA Paper 99165, University Library of Munich, Germany.
- Rivolta, Giulia & Trecroci, Carmine, 2020. "Measuring the effects of U.S. uncertainty and monetary conditions on EMEs' macroeconomic dynamics," MPRA Paper 99403, University Library of Munich, Germany.
- Gupta, Rangan & Ma, Jun & Theodoridis, Konstantinos & Wohar, Mark E, 2020.
"Is there a National Housing Market Bubble Brewing in the United States?,"
Cardiff Economics Working Papers
E2020/3, Cardiff University, Cardiff Business School, Economics Section.
- Rangan Gupta & Jun Ma & Konstantinos Theodoridis & Mark E. Wohar, 2020. "Is there a National Housing Market Bubble Brewing in the United States?," Working Papers 202023, University of Pretoria, Department of Economics.
- Oguzhan Cepni & Riza Demirer & Rangan Gupta & Ahmet Sensoy, 2020.
"Interest Rate Uncertainty and the Predictability of Bank Revenues,"
Working Papers
202040, University of Pretoria, Department of Economics.
- Cepni, Oguzhan & Demirer, Riza & Gupta, Rangan & Sensoy, Ahmet, 2021. "Interest Rate Uncertainty and the Predictability of Bank Revenues," Working Papers 2-2021, Copenhagen Business School, Department of Economics.
- Xin Sheng & Rangan Gupta & Qiang Ji, 2020. "Forecasting Charge-Off Rates with a Panel Tobit Model: The Role of Uncertainty," Working Papers 202092, University of Pretoria, Department of Economics.
- Marek A. Dąbrowski & Łukasz Kwiatkowski & Justyna Wróblewska, 2020. "Sources of Real Exchange Rate Variability in Central and Eastern European Countries: Evidence from Structural Bayesian MSH-VAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 369-412, December.
2019
- Jan Przystupa, 2019. "Symmetric or asymmetric? Monetary policy and Polish economy reactions over the business cycle," Bank i Kredyt, Narodowy Bank Polski, vol. 50(4), pages 375-410.
- Beata K. Bierut & Piot Dybka, 2019.
"Institutional determinants of export competitiveness among the EU countries: evidence from Bayesian model averaging,"
Working Papers
2019-043, Warsaw School of Economics, Collegium of Economic Analysis.
- Beata Bierut & Piotr Dybka, 2019. "Institutional determinants of export competitiveness among the EU countries: evidence from Bayesian model averaging," NBP Working Papers 306, Narodowy Bank Polski, Economic Research Department.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019.
"Forecasting with a Panel Tobit Model,"
CAEPR Working Papers
2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," NBER Working Papers 26569, National Bureau of Economic Research, Inc.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2021. "Forecasting with a Panel Tobit Model," Papers 2110.14117, arXiv.org.
- Martin, Ian W.R. & Nagel, Stefan, 2022.
"Market efficiency in the age of big data,"
Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," NBER Working Papers 26586, National Bureau of Economic Research, Inc.
- Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," LSE Research Online Documents on Economics 112960, London School of Economics and Political Science, LSE Library.
- Martin, Ian & Nagel, Stefan, 2019. "Market Efficiency in the Age of Big Data," CEPR Discussion Papers 14235, C.E.P.R. Discussion Papers.
- L. E. Limonov & M. V. Nesena., 2019. "Evaluation of the impact of public investment programs on social and economic performance of territories," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 1.
- 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.
- 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.
- Clara De Luigi & Florian Huber & Josef Schreiner, 2019. "The impact of labor cost growth on inflation in selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/19, pages 56-78.
- Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2019.
"Identification of Financial Factors in Economic Fluctuations,"
Economic Journal, Royal Economic Society, vol. 129(617), pages 311-337.
- Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," Working Paper 2014/09, Norges Bank.
- Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," KOF Working papers 14-364, KOF Swiss Economic Institute, ETH Zurich.
- Konstantinos Metaxoglou & Davide Pettenuzzo & Aaron Smith, 2019.
"Option-Implied Equity Premium Predictions via Entropic Tilting,"
Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(4), pages 559-586.
- Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99R, Brandeis University, Department of Economics and International Businesss School, revised Aug 2016.
- Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99, Brandeis University, Department of Economics and International Businesss School.
- Dávila Aragón, Griselda & Ortiz Arango, Francisco, 2019. "Cálculo del Valor en Riesgo Operacional de una Empresa Aseguradora Mediante Redes Bayesianas || Calculation of Operational Value at Risk of an Insurance Company through Bayesian Networks," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 27(1), pages 30-54, June.
- Luna-Ramirez, Susana & Agudelo, Diego A., 2019. "¿Agrega Valor el Modelo Black-Litterman en Portafolios del Mercado Integrado Latinoamericano (MILA)? Evaluación Empírica 2008-2016 || Does the Black-Litterman Model Add Value in Portfolios of the Inte," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 27(1), pages 55-73, June.
- F. Di Iorio & M. Letizia Giorgetti, 2020.
"Launch of a product and patents: evidence from the US cardiovascular pharmaceutical sector,"
Industry and Innovation, Taylor & Francis Journals, vol. 27(7), pages 789-803, August.
- Francesca Di Iorio & Maria Letizia Giorgietti, 2019. "Launch of a product and patents: evidence from the US cardiovascular pharmaceutical sector," DEM Working Papers Series 169, University of Pavia, Department of Economics and Management.
- Georgios Magkonis & Anastasia Theofilakou, 2019. "Transmission of sectoral debt shocks in OECD countries: Evidence from the income channel," Working Papers in Economics & Finance 2019-02, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Carlos A. Abanto-Valle & Hernán B. Garrafa-Aragón, 2019. "Umbral de modelos de volatilidad estocástica con colas pesadas: un enfoque bayesiano," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(83), pages 32-53.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019.
"Online Estimation of DSGE Models,"
Liberty Street Economics
20190821, Federal Reserve Bank of New York.
- Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," PIER Working Paper Archive 19-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Michael D. Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," NBER Working Papers 26826, National Bureau of Economic Research, Inc.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," Finance and Economics Discussion Series 2020-023, Board of Governors of the Federal Reserve System (U.S.).
- Borooah, Vani, 2019. "Labour Market Risks," MPRA Paper 101672, University Library of Munich, Germany.
- Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021.
"Bayesian Value-at-Risk backtesting: The case of annuity pricing,"
European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
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"High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 493-504, March.
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"Immigration and the macroeconomy: some new empirical evidence,"
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"High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 493-504, March.
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"Capital Control, Exchange Rate Regime, and Monetary Policy: Indeterminacy and Bifurcation,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
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"A Bayesian approach to account for misclassification in prevalence and trend estimation,"
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"Institutional determinants of export competitiveness among the EU countries: evidence from Bayesian model averaging,"
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"Financial and fiscal interaction in the Euro Area crisis: This time was different,"
European Economic Review, Elsevier, vol. 119(C), pages 333-355.
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"Financial and fiscal interaction in the Euro Area crisis: This time was different,"
European Economic Review, Elsevier, vol. 119(C), pages 333-355.
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"Bayesian inference in threshold stochastic frontier models,"
Empirical Economics, Springer, vol. 56(2), pages 399-422, February.
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"Credit cycles and real activity: the Swiss case,"
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"The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy,"
Empirical Economics, Springer, vol. 57(2), pages 603-630, August.
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"A Flexible Approach to Age Dependence in Organizational Mortality: Comparing the Life Duration for Cooperative and Non-Cooperative Enterprises Using a Bayesian Generalized Additive Discrete Time Survi,"
Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(4), pages 829-855, December.
- Damien Rousselière, 2017. "A flexible approach to age dependence in organizational mortality. Comparing the life duration for cooperative and non-cooperative enterprises using a Bayesian Generalized Additive Discrete Time Survi," Working Papers SMART 17-08, INRAE UMR SMART.
- Damien Rousselière, 2019. "A Flexible Approach to Age Dependence in Organizational Mortality: Comparing the Life Duration for Cooperative and Non-Cooperative Enterprises Using a Bayesian Generalized Additive Discrete Time Survi," Post-Print hal-02107866, HAL.
- Rousselière, Damien, 2017. "A flexible approach to age dependence in organizational mortality. Comparing the life duration of cooperative and non-cooperative enterprises using a Bayesian Generalized Additive Discrete Time Surviv," Working Papers 264214, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
- Matkovskyy, Roman & Jalan, Akanksha, 2019.
"From financial markets to Bitcoin markets: A fresh look at the contagion effect,"
Finance Research Letters, Elsevier, vol. 31(C), pages 93-97.
- Roman Matkovskyy & Akanksha Jalan, 2019. "From financial markets to Bitcoin markets: A fresh look at the contagion effect," Post-Print hal-02131637, HAL.
- Jean-Pierre Florens & Anna Simoni, 2021.
"Gaussian Processes and Bayesian Moment Estimation,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 482-492, March.
- Jean-Pierre Florens & Anna Simoni, 2015. "Gaussian processes and Bayesian moment estimation," Working Papers 2015-09, Center for Research in Economics and Statistics.
- Jean-Pierre Florens & Anna Simoni, 2019. "Gaussian Processes and Bayesian Moment Estimation," Post-Print hal-02903252, HAL.
- J.P. Florens & C. Gourieroux & A. Monfort, 2019.
"Model Risk Management: Limits and Future of Bayesian Approaches,"
Annals of Economics and Statistics, GENES, issue 136, pages 1-26.
- Jean-Pierre Florens & Christian Gouriéroux & Alain Monfort, 2019. "Model Risk Management: Limits and Future of Bayesian Approaches," Post-Print hal-02952910, HAL.
- Liao, Yuan & Simoni, Anna, 2019.
"Bayesian inference for partially identified smooth convex models,"
Journal of Econometrics, Elsevier, vol. 211(2), pages 338-360.
- Yuan Liao & Anna Simoni, 2019. "Bayesian inference for partially identified smooth convex models," Post-Print hal-03089881, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019.
"Financial and fiscal interaction in the Euro Area crisis: This time was different,"
European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Sciences Po publications 11, Sciences Po.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019.
"Financial and fiscal interaction in the Euro Area crisis: This time was different,"
European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Sciences Po publications 11, Sciences Po.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Valentin Jouvanceau, 2019.
"New Evidence on the Effects of Quantitative Easing,"
Working Papers
1912, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Valentin Jouvanceau, 2019. "New Evidence on the Effects of Quantitative Easing," Working Papers halshs-02073826, HAL.
- Edwin Fourrier-Nicolai & Michel Lubrano, 2019.
"The Effect of Aspirations on Inequality: Evidence from the German Reunification using Bayesian Growth Incidence Curves,"
AMSE Working Papers
1914, Aix-Marseille School of Economics, France.
- Edwin Fourrier-Nicolai & Michel Lubrano, 2019. "The Effect of Aspirations on Inequality: Evidence from the German Reunification using Bayesian Growth Incidence Curves," Working Papers halshs-02122371, HAL.
- Lundgren, Berndt & Schultzberg, Mårten, 2019. "Application of the economic theory of self-control to model energy conservation behavioral change in households," Working Paper Series 19/1, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
- Karlsson, Sune & Österholm, Pär, 2020.
"The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?,"
Economics Letters, Elsevier, vol. 186(C).
- Karlsson, Sune & Österholm, Pär, 2019. "The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?," Working Papers 2019:7, Örebro University, School of Business.
- Laurent Barras & O. Scaillet & Russ Wermers, 2019. "Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply," Swiss Finance Institute Research Paper Series 19-61, Swiss Finance Institute.
- Paola Andrea Vaca González, 2019. "Cálculo y evaluación del riesgo operativo en entidades de salud a partir del enfoque de redes bayesianas," Ensayos de Economía 018302, Universidad Nacional de Colombia Sede Medellín.
- Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2018.
"The Origins and Effects of Macroeconomic Uncertainty,"
NBER Working Papers
25386, National Bureau of Economic Research, Inc.
- Bianchi, Francesco & Kung, Howard & Tirskikh, Mikhail, 2019. "The Origins and Effects of Macroeconomic Uncertainty," CEPR Discussion Papers 13450, C.E.P.R. Discussion Papers.
- Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2019. "The Origins and Effects of Macroeconomic Uncertainty," 2019 Meeting Papers 245, Society for Economic Dynamics.
- Chih-Sheng Hsieh & Michael D. Konig & Xiaodong Liu, 2022.
"A Structural Model for the Coevolution of Networks and Behavior,"
The Review of Economics and Statistics, MIT Press, vol. 104(2), pages 355-367, May.
- Hsieh, Chih-Sheng & König, Michael & Liu, Xiaodong, 2019. "A Structural Model for the Coevolution of Networks and Behavior," CEPR Discussion Papers 13911, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020.
"Assessing international commonality in macroeconomic uncertainty and its effects,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 273-293, April.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2018. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers (Old Series) 1803, Federal Reserve Bank of Cleveland.
- Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," CEPR Discussion Papers 13970, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers 18-03R, Federal Reserve Bank of Cleveland.
- Fu, Rong & Lawson, Jeremy & Martinez, Carolina & Watt, Abigail, 2019. "Chinese Financial Conditions and their Spillovers to the Global Economy and Markets," CEPR Discussion Papers 14065, C.E.P.R. Discussion Papers.
- Martin, Ian W.R. & Nagel, Stefan, 2022.
"Market efficiency in the age of big data,"
Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," NBER Working Papers 26586, National Bureau of Economic Research, Inc.
- Martin, Ian & Nagel, Stefan, 2019. "Market Efficiency in the Age of Big Data," CEPR Discussion Papers 14235, C.E.P.R. Discussion Papers.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.
- Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," LSE Research Online Documents on Economics 112960, London School of Economics and Political Science, LSE Library.
- T. Philipp Dybowski & Bernd Kempa, 2019. "The ECB’s monetary pillar after the financial crisis," CQE Working Papers 8519, Center for Quantitative Economics (CQE), University of Muenster.
- Paul Levine & Joseph Pearlman & Stephen Wright & Bo Yang, 2019.
"Information, VARs and DSGE Models,"
School of Economics Discussion Papers
1619, School of Economics, University of Surrey.
- Levine, P. & Pearlman, J. & Wright, S. & Yang, B., 2019. "Information, VARs and DSGE Models," Working Papers dp16/19, Department of Economics, City University London.
- Gehrke, Britta, 2019.
"Fiscal Rules And Unemployment,"
Macroeconomic Dynamics, Cambridge University Press, vol. 23(8), pages 3293-3326, December.
- Gehrke, Britta, 2017. "Fiscal rules and unemployment," FAU Discussion Papers in Economics 10/2014, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Martin Bruns & Michele Piffer, 2018.
"Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses,"
Working Papers
878, Queen Mary University of London, School of Economics and Finance.
- Martin Bruns & Michele Piffer, 2019. "Bayesian Structural VAR Models: A New Approach for Prior Beliefs on Impulse Responses," Discussion Papers of DIW Berlin 1796, DIW Berlin, German Institute for Economic Research.
- Dorinth van Dijk, 2019. "Local Constant-Quality Housing Market Liquidity Indices," DNB Working Papers 637, Netherlands Central Bank, Research Department.
- Cars Hommes & Kostas Mavromatis & Tolga Ozden & Mei Zhu, 2019. "Behavioral learning equilibria in the New Keynesian model," DNB Working Papers 654, Netherlands Central Bank, Research Department.
- Kanngiesser, Derrick & Martin, Reiner & Moccero, Diego & Maurin, Laurent, 2019. "The macroeconomic impact of changes in economic bank capital buffers," Macroprudential Bulletin, European Central Bank, vol. 8.
- Ankargren, Sebastian & Shahnazarian, Hovick, 2019. "The Interaction Between Fiscal and Monetary Policies: Evidence from Sweden," Working Paper Series 365, Sveriges Riksbank (Central Bank of Sweden), revised 01 Apr 2019.
- Gunawan, David & Dang, Khue-Dung & Quiroz, Matias & Kohn, Robert & Tran, Minh-Ngoc, 2019. "Subsampling Sequential Monte Carlo for Static Bayesian Models," Working Paper Series 371, Sveriges Riksbank (Central Bank of Sweden).
- Dang, Khue-Dung & Quiroz, Matias & Kohn, Robert & Tran, Minh-Ngoc & Villani, Mattias, 2019. "Hamiltonian Monte Carlo with Energy Conserving Subsampling," Working Paper Series 372, Sveriges Riksbank (Central Bank of Sweden).
- Isabella Moder, 2019.
"Spillovers from the ECB's Non-standard Monetary Policy Measures on Southeastern Europe,"
International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 127-163, October.
- Moder, Isabella, 2017. "Spillovers from the ECB's non-standard monetary policy measures on south-eastern Europe," Working Paper Series 2095, European Central Bank.
- Francesco Zanetti & Konstantinos Theodoridis, 2018.
"State Dependence in Labor Market Fluctuations: Evidence, Theory, and Policy Implications,"
Economics Series Working Papers
856, University of Oxford, Department of Economics.
- Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2019. "State Dependence in Labor Market Fluctuations: Evidence, Theory, and Policy Implications," IMES Discussion Paper Series 19-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
- Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2018. "State Dependence in Labor Market Fluctuations: Evidence,Theory, and Policy Implications," BCAM Working Papers 1801, Birkbeck Centre for Applied Macroeconomics.
- Pizzinelli, Carlo & Theodoridis, Konstantinos & Zanetti, Francesco, 2018. "State dependence in labor market fluctuations: evidence, theory, and policy implications," LSE Research Online Documents on Economics 90380, London School of Economics and Political Science, LSE Library.
- Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2018. "State Dependence in Labor Market Fluctuations: Evidence, Theory, and Policy Implications," Discussion Papers 1822, Centre for Macroeconomics (CFM).
- Gustavo Cabrera González, 2019. "Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 203-219, Abril-Jun.
- Miguel Antonio Alba Suárez & Wilmer Pineda-Ríos & Javier Deaza Chaves, 2019. "Análisis comparativo de las metodologías de estimación semiparamétricas y vía cópulas del Valor en Riesgo (VaR) en el mercado accionario colombiano," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 279-307, Abril-Jun.
- Beatriz Mota Aragón & José Antonio Núñez Mora, 2019. "Estimación de la distribución multivariada de los rendimientos de los tipos de cambio contra el dólar de las criptomonedas Bitcoin, Ripple y Ether," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(3), pages 447-457, Julio - S.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019.
"Forecasting with a Panel Tobit Model,"
NBER Working Papers
26569, National Bureau of Economic Research, Inc.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2021. "Forecasting with a Panel Tobit Model," Papers 2110.14117, arXiv.org.
- Maria Chiara D’Errico, 2019. "Bayesian Estimation of the Photovoltaic Balance-of-System Learning Curve," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 47(1), pages 111-112, March.
- Natalia Khorunzhina & Jean-François Richard, 2019.
"Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels,"
Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 991-1017, March.
- Khorunzhina, Natalia & Richard, Jean-Francois, 2016. "Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels," MPRA Paper 72326, University Library of Munich, Germany.
- Jean-Francois Richard, 2016. "Finite Gaussian Mixture Approximations to Analytically Intractable Density Kerkels," Working Paper 5980, Department of Economics, University of Pittsburgh.
- Jin-Yu Zhang & Zhong-Tian Chen & Yong Li, 2019. "Bayesian Testing for Leverage Effect in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1153-1164, March.
- Nima Nonejad, 2019. "Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1687-1710, April.
- Enrique Martínez-García, 2019.
"Good Policies or Good Luck? New Insights on Globalization and the International Monetary Policy Transmission Mechanism,"
Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 419-454, June.
- Enrique Martinez-Garcia, 2017. "Good Policies or Good Luck? New Insights on Globalization and the International Monetary Policy Transmission Mechanism," Globalization Institute Working Papers 321, Federal Reserve Bank of Dallas.
- Juan Carlos Cuestas & Javier Ordóñez & Karsten Staehr, 2019.
"Unit labour costs and the dynamics of output and unemployment in the southern European crisis countries,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(3), pages 597-616, August.
- Juan Carlos Cuestas & Karsten Staehr & Javier Ordóñez, 2018. "Unit Labour Costs and the Dynamics of Output and Unemployment in the Southern European Crisis Countries," TUT Economic Research Series 41, Department of Finance and Economics, Tallinn University of Technology.
- I. G. Ukpong & K. G. Balcombe & I. M. Fraser & F. J. Areal, 2019. "Preferences for Mitigation of the Negative Impacts of the Oil and Gas Industry in the Niger Delta Region of Nigeria," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(2), pages 811-843, October.
- Markus Glatt & Roy Brouwer & Ivana Logar, 2019. "Combining Risk Attitudes in a Lottery Game and Flood Risk Protection Decisions in a Discrete Choice Experiment," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1533-1562, December.
- Marco Gross & Javier Población, 2019. "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 31-58, February.
- Matthew Quick, 2019. "Multiscale spatiotemporal patterns of crime: a Bayesian cross-classified multilevel modelling approach," Journal of Geographical Systems, Springer, vol. 21(3), pages 339-365, September.
- Guohua Feng & Chuan Wang & Xibin Zhang, 2019. "Estimation of inefficiency in stochastic frontier models: a Bayesian kernel approach," Journal of Productivity Analysis, Springer, vol. 51(1), pages 1-19, February.
- Altug, Sumru G. & Cakmakli, Cem & Demircan, Hamza, 2018.
"Modeling of Economic and Financial Conditions for Nowcasting and Forecasting Recessions: A Unified Approach,"
CEPR Discussion Papers
13171, C.E.P.R. Discussion Papers.
- Cem Cakmakli & Hamza Demircan & Sumru Altug, 2019. "Modeling of Economic and Financial Conditions for Nowcasting and Forecasting Recessions: A Unified Approach," Koç University-TUSIAD Economic Research Forum Working Papers 1907, Koc University-TUSIAD Economic Research Forum.
- Samad Sarferaz & Florian Eckert, 2019. "Agnostische Schätzung und Zerlegung von Produktionslücken," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 13(4), pages 27-36, December.
- Florian Eckert & Samad Sarferaz, 2019. "Agnostic Output Gap Estimation and Decomposition in Large Cross-Sections," KOF Working papers 19-467, KOF Swiss Economic Institute, ETH Zurich.
- Mirela Miescu, 2019. "Uncertainty shocks in emerging economies," Working Papers 277077821, Lancaster University Management School, Economics Department.
- 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.
- 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.
- Yuheng Ling, 2019. "Time, space and hedonic prediction accuracy evidence from the Corsican apartment market," Working Papers 013, Laboratoire Lieux, Identités, eSpaces et Activités (LISA).
- Myroslav Pidkuyko & Raffaele Rossi & Klaus Reiner Schenk-Hoppé, 2019. "The Resolution of Long-Run Risk," Economics Discussion Paper Series 1908, Economics, The University of Manchester.
- Joerg Schmidt, 2019. "Risk, Asset Pricing and Monetary Policy Transmission in Europe: Evidence from a Threshold-VAR approach," MAGKS Papers on Economics 201928, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Iván Kataryniuk & Jaime Martínez-Martín, 2019.
"TFP Growth and Commodity Prices in Emerging Economies,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(10), pages 2211-2229, August.
- Iván Kataryniuk & Jaime Martínez-Martín, 2017. "TFP growth and commodity prices in emerging economies," Working Papers 1711, Banco de España.
- Nathaniel Tomasetti & Catherine Forbes & Anastasios Panagiotelis, 2019.
"Updating Variational Bayes: Fast Sequential Posterior Inference,"
Monash Econometrics and Business Statistics Working Papers
13/19, Monash University, Department of Econometrics and Business Statistics.
- Nathaniel Tomasetti & Catherine Forbes & Anastasios Panagiotelis, 2020. "Updating Variational Bayes: Fast Sequential Posterior Inference," Monash Econometrics and Business Statistics Working Papers 27/20, Monash University, Department of Econometrics and Business Statistics.
- Didier Nibbering, 2019. "A High-dimensional Multinomial Choice Model," Monash Econometrics and Business Statistics Working Papers 19/19, Monash University, Department of Econometrics and Business Statistics.
- Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019. "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers 22/19, Monash University, Department of Econometrics and Business Statistics.
2018
- Seibert, Armin & Sirchenko, Andrei & Müller, Gernot, 2021.
"A model for policy interest rates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
- Armin Seibert & Andrei Sirchenko & Gernot Muller, 2018. "A Model for Policy Interest Rates," HSE Working papers WP BRP 192/EC/2018, National Research University Higher School of Economics.
- Bobby Chung, 2018. "Peers’ Parents and Educational Attainment: The Exposure Effect," Working Papers 2018-086, Human Capital and Economic Opportunity Working Group.
- Garegnani, Lorena & Gómez Aguirre, Maximiliano, 2018. "Forecasting Inflation in Argentina," IDB Publications (Working Papers) 8940, Inter-American Development Bank.
- Bernard Njindan Iyke, 2018. "Macro Determinants Of The Real Exchange Rate In A Small Open Small Island Economy:Evidence From Mauritius Via Bma," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(1), pages 1-24, July.
- Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019.
"Modeling systemic risk with Markov Switching Graphical SUR models,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
- Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Andriy Norets & Justinas Pelenis, 2018.
"Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity,"
Papers
1806.07484, arXiv.org.
- Norets, Andriy & Pelenis, Justinas, 2018. "Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity," Economics Series 342, Institute for Advanced Studies.
- Ching-Wai (Jeremy) Chiu & John Hill, 2018.
"The Rate Elasticity of Retail Deposits in the United Kingdom: A Macroeconomic Investigation,"
International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 113-158, March.
- Chiu, Ching-Wai (Jeremy) & Hill, John, 2015. "The rate elasticity of retail deposits in the United Kingdom: a macroeconomic investigation," Bank of England working papers 540, Bank of England.
- Thorsten Simon & Georg J. Mayr & Nikolaus Umlauf & Achim Zeileis, 2018. "Lightning Prediction Using Model Output Statistics," Working Papers 2018-14, Faculty of Economics and Statistics, University of Innsbruck.
- Pinilla Jaime & Negrín Miguel & González-López-Valcárcel Beatriz & Vázquez-Polo Francisco-José, 2018. "Using a Bayesian Structural Time–Series Model to Infer the Causal Impact on Cigarette Sales of Partial and Total Bans on Public Smoking," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 238(5), pages 423-439, September.
- Pinilla Jaime & Negrín Miguel & González-López-Valcárcel Beatriz & Vázquez-Polo Francisco-José, 2018. "Using a Bayesian Structural Time–Series Model to Infer the Causal Impact on Cigarette Sales of Partial and Total Bans on Public Smoking," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 238(5), pages 423-439, September.
- Planas, Christophe & Rossi, Alessandro, 2018. "The slice sampler and centrally symmetric distributions," Working Papers 2018-11, Joint Research Centre, European Commission.
- Richard T. Carson & Jacob LaRiviere, 2018. "Structural Uncertainty and Pollution Control: Optimal Stringency with Unknown Pollution Sources," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(2), pages 337-355, October.
- Gholamreza Hajargasht & William E. Griffiths, 2018.
"Estimation and testing of stochastic frontier models using variational Bayes,"
Journal of Productivity Analysis, Springer, vol. 50(1), pages 1-24, October.
- Gholamreza Hajargasht & William E. Griffiths, 2016. "Estimation and Testing of Stochastic Frontier Models using Variational Bayes," Department of Economics - Working Papers Series 2024, The University of Melbourne.
- Kirthi Kalyanam & John McAteer & Jonathan Marek & James Hodges & Lifeng Lin, 2018. "Cross channel effects of search engine advertising on brick & mortar retail sales: Meta analysis of large scale field experiments on Google.com," Quantitative Marketing and Economics (QME), Springer, vol. 16(1), pages 1-42, March.
- Matthias Pelster & Johannes Vilsmeier, 2018. "The determinants of CDS spreads: evidence from the model space," Review of Derivatives Research, Springer, vol. 21(1), pages 63-118, April.
- Louis Lévy-Garboua & Muniza Askari & Marco Gazel, 2018.
"Confidence biases and learning among intuitive Bayesians,"
Theory and Decision, Springer, vol. 84(3), pages 453-482, May.
- Louis Lévy-Garboua & Muniza Askari & Marco Gazel, 2015. "Confidence Biases and Learning among Intuitive Bayesians," Documents de travail du Centre d'Economie de la Sorbonne 15080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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"Contagious exporting and foreign ownership: Evidence from firms in Shanghai using a Bayesian spatial bivariate probit model,"
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"Limited Asset Market Participation And The Euro Area Crisis: An Empirical Dsge Model,"
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"Specification tests based on MCMC output,"
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"An internally consistent approach to the estimation of market power and cost efficiency with an application to U.S. banking,"
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"Which smart electricity service contracts will consumers accept? The demand for compensation in a platform market,"
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"Variational Bayes inference in high-dimensional time-varying parameter models,"
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"Reducing dimensions in a large TVP-VAR,"
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"Multivariate stochastic volatility with co-heteroscedasticity,"
CAMA Working Papers
2018-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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"Stochastic model specification in Markov switching vector error correction models,"
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"The transmission of uncertainty shocks on income inequality: State-level evidence from the United States,"
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"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.
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- Manfred M. Fischer & Florian Huber & Michael Pfarrhofer & Petra Staufer‐Steinnocher, 2021.
"The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1039-1068, December.
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- Li, Yong & Liu, Xiaobin & Zeng, Tao & Yu, Jun, 2018. "A Posterior-Based Wald-Type Statistic for Hypothesis Testing," Economics and Statistics Working Papers 8-2018, Singapore Management University, School of Economics.
- Lui, Yiu Lim & Xiao, Weilin & Yu, Jun, 2018. "The Grid Bootstrap for Continuous Time Models," Economics and Statistics Working Papers 20-2018, Singapore Management University, School of Economics.
- Yuang Shiang CHAO, 2018. "Risk Management and Diversification Strategy to Evaluate MNE Systematic Risk in Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 131-152, September.
- Luis Jose S. Santos & Shirlee R. Ocampo, 2018. "Bayesian Method with Clustering Algorithm for Credit Card Transaction Fraud Detection," Romanian Statistical Review, Romanian Statistical Review, vol. 66(1), pages 103-120, March.
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"The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model,"
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- Nitin Kumar & Arvind Shrivastava & D. P. Singh & Purnendu Kumar, 2018. "Determinants of Financial Stress of Indian Banks," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 19(2), pages 210-228, September.
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- Rolando Gonzales Martinez, 2018. "The Wage Curve, Once More with Feeling: Bayesian Model Averaging of Heckit Models," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 3(2), pages 79-92, December.
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"Forecasting the production side of GDP,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 458-480, April.
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- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2017.
"A Model of the Fed’s View on Inflation,"
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- Donald J. Lacombe & James P. LeSage, 2018. "Use and interpretation of spatial autoregressive probit models," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 60(1), pages 1-24, January.
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"Identification of Dynamic Models of Rewards Programme,"
The Japanese Economic Review, Japanese Economic Association, vol. 69(3), pages 306-323, September.
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"Spillovers between Bitcoin and other assets during bear and bull markets,"
Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5935-5949, November.
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"Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data,"
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"Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations,"
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"Forecasting With Dynamic Panel Data Models,"
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"The Origins and Effects of Macroeconomic Uncertainty,"
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"Inter-industry wage inequality: persistent differences and turbulent equalisation,"
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"Multivariate Stochastic Volatility with Co-Heteroscedasticity,"
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- Johnstone, David, 2018. "Accounting Theory as a Bayesian Discipline," Foundations and Trends(R) in Accounting, now publishers, vol. 13(1-2), pages 1-266, December.
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- Paulo Chahuara, 2018. "Preferencias y Valorizacion por Atributos del Servicio de Internet Fijo en el Peru: un primer acercamiento via experimento de eleccion discreta," Documentos de Trabajo 39, OSIPTEL.
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"Big science, learning, and innovation: evidence from CERN procurement,"
Industrial and Corporate Change, Oxford University Press, vol. 27(5), pages 915-936.
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- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018.
"Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?,"
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"Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle,"
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"What Type of Finance Matters for Growth? Bayesian Model Averaging Evidence,"
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"Oil price shocks and economic growth: The volatility link,"
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"Oil price shocks and economic growth: The volatility link,"
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"Belief updating: does the ‘good-news, bad-news’ asymmetry extend to purely financial domains?,"
Experimental Economics, Springer;Economic Science Association, vol. 24(1), pages 31-58, March.
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"An internally consistent approach to the estimation of market power and cost efficiency with an application to U.S. banking,"
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"Forecasting GDP Growth using Disaggregated GDP Revisions,"
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"Variational Bayes inference in high-dimensional time-varying parameter models,"
Essex Finance Centre Working Papers
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"Model simplification and variable selection: A replication of the UK inflation model by Hendry (2001),"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 645-652, August.
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"Forecast ranked tailored equity portfolios,"
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"Sticky Price versus Sticky Information Price: Empirical Evidence in the New Keynesian Setting,"
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"Sticky Price versus Sticky Information Price: Empirical Evidence in the New Keynesian Setting,"
MPRA Paper
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"Spillovers between Bitcoin and other assets during bear and bull markets,"
Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5935-5949, November.
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"Thirty years of economic growth in Africa,"
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"Exploring the effect of crisis on cooperatives: a Bayesian performance analysis of French craftsmen cooperatives,"
Applied Economics, Taylor & Francis Journals, vol. 52(25), pages 2657-2678, May.
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"The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections,"
Econometrics, MDPI, vol. 6(2), pages 1-24, May.
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"Econometric modeling of regional electricity spot prices in the Australian market,"
Energy Economics, Elsevier, vol. 74(C), pages 886-903.
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"Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective,"
Finance and Economics Discussion Series
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"Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity,"
Economics Series
342, Institute for Advanced Studies.
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"The transmission of uncertainty shocks on income inequality: State-level evidence from the United States,"
Working Papers in Economics
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"Stochastic model specification in Markov switching vector error correction models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
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"Bayesian dynamic variable selection in high dimensions,"
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"State Dependence in Labor Market Fluctuations: Evidence, Theory, and Policy Implications,"
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"State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models,"
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- Eddie Gerba, 2018. "What is the Fiscal Stress in Euro Area? Evidence from a Joint Monetary-Fiscal Structural Model," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 36(85), pages 21-47, April.
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"Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia,"
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"Inflation Targeting in Emerging Economies,"
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"Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
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"The Likelihood Of Effective Lower Bound Events,"
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"Identification of Dynamic Models of Rewards Programme,"
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"Point, interval and density forecasts of exchange rates with time varying parameter models,"
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"Estimating dynamic macroeconomic models: how informative are the data?,"
Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(2), pages 501-520, February.
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"Bayesian non‐parametric conditional copula estimation of twin data,"
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"Forecast density combinations of dynamic models and data driven portfolio strategies,"
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"The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects,"
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"Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications,"
Energy Economics, Elsevier, vol. 79(C), pages 111-129.
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"DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation,"
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"Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations,"
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"Markov-switching quantile autoregression: a Gibbs sampling approach,"
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"Incertitude de classement final et affluence en Ligue 1 française de football : une nouvelle approche,"
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"Dynamic effects of monetary policy shocks on macroeconomic volatility,"
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"Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?,"
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1711.00564, arXiv.org, revised Nov 2017.
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"Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?,"
Papers
1711.00564, arXiv.org, revised Nov 2017.
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- Martin Feldkircher & Florian Huber & Gregor Kastner, 2018. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?," Department of Economics Working Papers wuwp260, Vienna University of Economics and Business, Department of Economics.
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"The transmission of uncertainty shocks on income inequality: State-level evidence from the United States,"
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- Manfred M. Fischer & Florian Huber & Michael Pfarrhofer & Petra Staufer‐Steinnocher, 2021.
"The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1039-1068, December.
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"Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach,"
Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
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- Claudia Foroni & Francesco Furlanetto & Antoine Lepetit, 2018.
"Labor Supply Factors And Economic Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(3), pages 1491-1510, August.
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"An efficient Bayesian approach to multiple structural change in multivariate time series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 251-270, March.
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"Improving Markov switching models using realized variance,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
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- 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.
- Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018.
"A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
- Joshua C. C. Chan & Todd E. Clark & Gary Koop, 2015. "A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations," Working Papers (Old Series) 1520, Federal Reserve Bank of Cleveland.
- Joshua C.C. Chan & Yong Song, 2018.
"Measuring Inflation Expectations Uncertainty Using High‐Frequency Data,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1139-1166, September.
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"Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1571-1616, October.
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"Smoking initiation: Peers and personality,"
Quantitative Economics, Econometric Society, vol. 9(2), pages 825-863, July.
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- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019.
"Financial and fiscal interaction in the Euro Area crisis: This time was different,"
European Economic Review, Elsevier, vol. 119(C), pages 333-355.
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- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
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"To sign or not to sign? On the response of prices to financial and uncertainty shocks,"
Economics Letters, Elsevier, vol. 171(C), pages 189-192.
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"Generalized Exogenous Processes in DSGE: A Bayesian Approach,"
SFB 649 Discussion Papers
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- Tryphonides, Andreas, 2018. "Learning from Errors: The case of monetary and fiscal policy regimes," IRTG 1792 Discussion Papers 2018-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
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"On the empirics of reserve requirements and economic growth,"
Journal of Macroeconomics, Elsevier, vol. 60(C), pages 253-274.
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"Exchange rate uncertainty and import prices in the euro area,"
Review of International Economics, Wiley Blackwell, vol. 27(5), pages 1537-1572, November.
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"Exchange rate predictability and dynamic Bayesian learning,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
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"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.
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"Modeling extreme risks in commodities and commodity currencies,"
Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 108-120.
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"Inferring hawks and doves from voting records,"
European Journal of Political Economy, Elsevier, vol. 51(C), pages 107-120.
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"Flexible dependence modeling using convex combinations of different types of connectivity structures,"
Regional Science and Urban Economics, Elsevier, vol. 69(C), pages 48-68.
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"Testing of Parameter's Instability in a Balanced Panel: An Application to Real Effective Exchange Rate for SAARC Countries,"
Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 61(2), pages 18-46.
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"How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis,"
Advances in Econometrics, in: Ivan Jeliazkov & Justin L. Tobias (ed.), Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 229-248,
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"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.
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- 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.
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"Comparing hybrid time-varying parameter VARs,"
Economics Letters, Elsevier, vol. 171(C), pages 1-5.
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"Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts,"
International Journal of Forecasting, Elsevier, vol. 36(4), pages 1318-1328.
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"Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan,"
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"Reducing Dimensions in a Large TVP-VAR,"
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- Joshua Chan & Arnaud Doucet & Roberto León-González & Rodney W. Strachan, 2018.
"Multivariate Stochastic Volatility with Co-Heteroscedasticity,"
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18-38, Rimini Centre for Economic Analysis.
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"State Dependence in Labor Market Fluctuations: Evidence, Theory, and Policy Implications,"
Economics Series Working Papers
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"Bayesian Analysis of Realized Matrix-Exponential GARCH Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 103-123, January.
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"Forecasting with High‐Dimensional Panel VARs,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
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"Variational Bayes inference in high-dimensional time-varying parameter models,"
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"A Model of the Fed’s View on Inflation,"
The Warwick Economics Research Paper Series (TWERPS)
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"Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors,"
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"Assessing international commonality in macroeconomic uncertainty and its effects,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 273-293, April.
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"Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
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"Nonlinear impact estimation in spatial autoregressive models,"
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"Incertitude de classement final et affluence en Ligue 1 française de football : une nouvelle approche,"
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