Bayesian nonparametric sparse VAR models
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- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
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- Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020.
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