Common Drifting Volatility in Large Bayesian VARs-Reference-Cited by-同舟云学术

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Common Drifting Volatility in Large Bayesian VARs

Published:2016-07-02 Issue:3 Volume:34 Page:375-390
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Carriero Andrea¹,Clark Todd E.²,Marcellino Massimiliano³

Affiliation:

1. School of Economics and Finance, Queen Mary University of London, London, E1 4NS, United Kingdom ()

2. Federal Reserve Bank of Cleveland, Cleveland, OH 44114 ()

3. Department of Economics, Bocconi University, IGIER and CEPR, 20100, Milano, Italy ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2015.1040116

Reference45 articles.

1. Forecasting Performance of an Open Economy DSGE Model

2. Large Bayesian vector auto regressions

3. Bayesian VARs: Specification Choices and Forecast Accuracy

4. Forecasting exchange rates with a large Bayesian VAR

5. Forecasting government bond yields with large Bayesian vector autoregressions

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