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Forecasting with Global Vector Autoregressive Models: a Bayesian Approach

Citations

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Cited by:

  1. Vuković, Darko B. & Frömmel, Michael & Vigne, Samuel A. & Zinovev, Vyacheslav, 2025. "Spillovers between cryptocurrencies and financial markets in a global framework," Journal of International Money and Finance, Elsevier, vol. 150(C).
  2. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
  3. Vuković, Darko B. & Hassan, M. Kabir & Kwakye, Bernard & Febtinugraini, Armike & Shakib, Mohammed, 2024. "Does fintech matter for financial inclusion and financial stability in BRICS markets?," Emerging Markets Review, Elsevier, vol. 61(C).
  4. Jursa, Lukáš & Janků, Jan, 2025. "From the core to the European periphery: Spillover effects of financial cycles," Emerging Markets Review, Elsevier, vol. 68(C).
  5. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2022. "APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(4), pages 1625-1658, November.
  6. Michel C. de Souza, 2023. "On the transmission of us uncertainty shocks to the European labor market," Economics Bulletin, AccessEcon, vol. 43(4), pages 1666-1679.
  7. Andrejs Zlobins, 2020. "Country-level effects of the ECB’s expanded asset purchase programme," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 20(2), pages 187-217.
  8. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Discussion Paper Series in Economics 31/2018, Norwegian School of Economics, Department of Economics.
  9. Camehl, Annika, 2023. "Penalized estimation of panel vector autoregressive models: A panel LASSO approach," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1185-1204.
  10. Schnücker, A.M., 2019. "Penalized Estimation of Panel Vector Autoregressive Models," Econometric Institute Research Papers EI-2019-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  11. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
  12. Shovon Sengupta & Sunny Kumar Singh & Tanujit Chakraborty, 2025. "Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks," Papers 2510.23347, arXiv.org.
  13. Florian Huber & Tam'as Krisztin & Michael Pfarrhofer, 2018. "A Bayesian panel VAR model to analyze the impact of climate change on high-income economies," Papers 1804.01554, arXiv.org, revised Feb 2021.
  14. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.
  15. Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
  16. María Paula Bonel & Daniel J. Aromí, 2021. "Assessing GDP forecasts from autoregressive models: the impact of model complexity and training dataset," Asociación Argentina de Economía Política: Working Papers 4440, Asociación Argentina de Economía Política.
  17. Pawan Kumar & Vipul Kumar Singh, 2025. "Quadrant categorization of spillover determinants of sovereign risk of BRICIT nations: a Bayesian approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-22, December.
  18. Marcin Błażejowski & Paweł Kufel & Jacek Kwiatkowski, 2026. "Bayesian model averaging for VAR models: gretl-based implementation," Computational Statistics, Springer, vol. 41(2), pages 1-19, February.
  19. Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.
  20. 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.
  21. Zhixuan Jia & Wang Li & Yunlong Jiang & Xingshen Liu, 2025. "The Use of Minimization Solvers for Optimizing Time-Varying Autoregressive Models and Their Applications in Finance," Mathematics, MDPI, vol. 13(14), pages 1-21, July.
  22. Celani, Alessandro & Cerchiello, Paola & Pagnottoni, Paolo, 2024. "The topological structure of panel variance decomposition networks," Journal of Financial Stability, Elsevier, vol. 71(C).
  23. Razieh Zahedi & Asghar Shahmoradi & Ali Taiebnia, 2022. "The ever-evolving trade pattern: a global VAR approach," Empirical Economics, Springer, vol. 63(3), pages 1193-1218, September.
  24. Szendrei, Tibor & Eross, Andrea & Mohammed, Mustapha & Ersoy, Erkal, 2025. "FiT for purpose? Investigating the effects of feed-in-tariffs on renewable energy penetration in Europe," Applied Energy, Elsevier, vol. 395(C).
  25. Deniz Sevinc & Edgar Mata Flores, 2021. "Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 741-776, January.
  26. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
  27. repec:spo:wpmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l is not listed on IDEAS
  28. 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.
  29. Camehl, Annika & von Schweinitz, Gregor, 2026. "What explains international interest rate co-movement?," IWH Discussion Papers 3/2023, Halle Institute for Economic Research (IWH), revised 2026.
  30. George N. Apostolakis & Nikolaos Giannellis & Athanasios P. Papadopoulos, 2023. "Macro‐financial effects of monetary policy easing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 715-738, April.
  31. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
  32. Szendrei, Tibor & Eross, Andrea & Mohammed, Mustapha & Ersoy, Erkal, 2024. "Investigating the effect of green finance initiatives on renewable energy penetration in Europe," Accountancy, Economics, and Finance Working Papers 2024-07, Heriot-Watt University, Department of Accountancy, Economics, and Finance.
  33. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 46-65.
  34. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt dynamics in Europe: A Network General Equilibrium GVAR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 175-202.
  35. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
  36. Gunter, Ulrich & Zekan, Bozana, 2021. "Forecasting air passenger numbers with a GVAR model," Annals of Tourism Research, Elsevier, vol. 89(C).
  37. Roberto Duncan & Enrique Martínez‐García, 2023. "Forecasting inflation in open economies: What can a NOEM model do?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 481-513, April.
  38. Eller, Markus & Huber, Florian & Schuberth, Helene, 2020. "How important are global factors for understanding the dynamics of international capital flows?," Journal of International Money and Finance, Elsevier, vol. 109(C).
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