This paper examines the role of economic policy uncertainty (EPU) on stock market returns
for six countries (Australia, Canada, China, Japan, Korea and the US), based on a panel …

Renewable energy holds a remarkable role in clean energy adaptation due to the much
lower carbon footprint it releases compared to other fossil fuels. It also has a positive impact …

This paper develops a Bayesian variant of global vector autoregressive (B‐GVAR) models to
forecast an international set of macroeconomic and financial variables. We propose a set of …

This paper proposes LASSO estimation specific for panel vector autoregressive (PVAR)
models. The penalty term allows for shrinkage for different lags, for shrinkage towards …

High dimensional vector autoregressive (VAR) models require a large number of
parameters to be estimated and may suffer of inferential problems. We propose a new …

This paper investigates whether the news-based measure of economic policy uncertainty
(EPU) could help in forecasting the real housing returns in ten (Canada, France, Germany …

This paper develops methods for estimating and forecasting in Bayesian panel vector
autoregressions of large dimensions with time‐varying parameters and stochastic volatility …

A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income
economies Page 1 The Annals of Applied Statistics 2023, Vol. 17, No. 2, 1543–1573 https://doi.org/10.1214/22-AOAS1681 …

Panel vector autoregressions (PVARs) are a popular tool for analyzing multicountry data
sets. However, the number of estimated parameters can be enormous, leading to …

By resorting to carbon leakage, developed countries can maintain their position as leaders
in climate action, but they are indirectly polluting through the consumption of imported …