BVARs and Stochastic Volatility
J Chan - arXiv preprint arXiv:2310.14438, 2023 - arxiv.org
Bayesian vector autoregressions (BVARs) are the workhorse in macroeconomic forecasting.
Research in the last decade has established the importance of allowing time-varying …
Research in the last decade has established the importance of allowing time-varying …
The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models
P Knaus, S Frühwirth-Schnatter - arXiv preprint arXiv:2312.10487, 2023 - arxiv.org
Many current approaches to shrinkage within the time-varying parameter framework assume
that each state is equipped with only one innovation variance for all time points. Sparsity is …
that each state is equipped with only one innovation variance for all time points. Sparsity is …
[PDF][PDF] On the Stability of Bayesian Bifurcated Autoregressive Process via Student-t Random Noise: Application and Simulation
RO Olanrewaju, SA Olanrewaju… - Applied …, 2024 - researchgate.net
In this article, we proposed and thoroughly described Bayesian bifurcated autoregressive
process with student-t pairwise auto-correlated random noises for degenerated, lineage, or …
process with student-t pairwise auto-correlated random noises for degenerated, lineage, or …