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Bayesian forecasting in economics and finance: A modern review · Study

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ArticleBayesian forecasting in economics and finance: A modern review

Gael M. Martin2023

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Articlegreen2023

Bayesian forecasting in economics and finance: A modern review

Gael M. Martin · David T. Frazier · Worapree Ole Maneesoonthorn · Rubén Loaiza‐Maya · Florian Huber · Gary M. Koop +3 more

45 citations·0/0 files stored·International Journal of Forecasting

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Forecasting Techniques and Applications Statistical Methods and Bayesian Inference Markov Chains and Monte Carlo Methods

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References

1973The Pricing of Options and Corporate Liabilities 2007Strictly Proper Scoring Rules, Prediction, and Estimation 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach 1992ARCH modeling in finance 2005Time Varying Structural Vector Autoregressions and Monetary Policy 1997Empirical Performance of Alternative Option Pricing Models 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach

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Year2023

Typearticle

Published2023-07-18

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations45

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/j.ijforecast.2023.05.002

openalex_workW4384700499

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