SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs
16 references·5 citing·42 second hop
Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs (2019)Minnesota-Type Adaptive Hierarchical Prio…FRED-MD: A Monthly Database for Macroeconomic Research (2015)FRED-MD: A Monthly Database f…Prior Selection for Vector Autoregressions (2014)Prior Selection for Vector Au…Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility (2014)Macroeconomic Forecasting Per…Now-Casting and the Real-Time Data Flow (2013)Now-Casting and the Real-Time…Large time-varying parameter VARs (2013)Large time-varying parameter …Macroeconomic forecasting and structural change (2011)Macroeconomic forecasting and…Forecasting with Medium and Large Bayesian VARS (2011)Forecasting with Medium and L…Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility (2010)Real-Time Density Forecasts F…Bayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010)Bayesian Multivariate Time Se…Large Bayesian vector auto regressions (2009)Large Bayesian vector auto re…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Bayesian Methods for Dynamic Multivariate Models (1998)Bayesian Methods for Dynamic …Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyForecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…Forecasting and conditional projection using realistic prior distributions (1984)Forecasting and conditional p…Large Order-Invariant Bayesian VARs with Stochastic Volatility (2023)Large Order-Invariant Bayesia…Bayesian forecasting in economics and finance: A modern review (2023)Bayesian forecasting in econo…TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES (2022)TAIL FORECASTING WITH MULTIVA…Real-time inflation forecasting using non-linear dimension reduction techniques (2022)Real-time inflation forecasti…Comparing stochastic volatility specifications for large Bayesian VARs (2022)Comparing stochastic volatili…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Are Forecasting Models Usable for Policy Analysis? (1986)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Deconstructing Monetary Policy Surprises: The Role of Information Shocks (2018)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Panel Vector Autoregressive Models: A Survey (2013)U.S. Monetary Policy and the Global Financial Cycle (2020)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Macroeconomics and Reality (1980)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Introductory Econometrics for Finance (2008)US Monetary Policy and the Global Financial Cycle (2015)The Transmission of Monetary Policy Shocks (2017)The Quarterly Journal of Economics (2024)Comparing Predictive Accuracy (1994)Measuring Uncertainty (2015)Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments (2018)Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2021)Deep Learning in Asset Pricing (2023)Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series (1971)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Were There Regime Switches in U.S. Monetary Policy? (2006)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? (2012)Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication (2015)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1995Comparing Predictive Accuracy5,214 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • 1984Forecasting and conditional projection using realistic prior distributions1,203 cited
  • 2009Large Bayesian vector auto regressions1,158 cited
  • 1998Bayesian Methods for Dynamic Multivariate Models1,011 cited
  • 2015FRED-MD: A Monthly Database for Macroeconomic Research908 cited
  • 2014Prior Selection for Vector Autoregressions737 cited
  • 2010Bayesian Multivariate Time Series Methods for Empirical Macroeconomics644 cited
  • 2013Large time-varying parameter VARs504 cited
  • 2013Now-Casting and the Real-Time Data Flow452 cited
  • 2010Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility423 cited
  • 2011Forecasting with Medium and Large Bayesian VARS385 cited
  • 2011Macroeconomic forecasting and structural change360 cited
  • 2014

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility
318 cited

Cited by

  • 2022TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES47 cited
  • 2023Large Order-Invariant Bayesian VARs with Stochastic Volatility45 cited
  • 2023Bayesian forecasting in economics and finance: A modern review45 cited
  • 2022Real-time inflation forecasting using non-linear dimension reduction techniques42 cited
  • 2022Comparing stochastic volatility specifications for large Bayesian VARs40 cited