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Bayesian forecasting in economics and finance: A modern review
16 references·0 citing·50 second hop
Bayesian forecasting in economics and finance: A modern review (2023)Bayesian forecasting in economics and fin…Prior Selection for Vector Autoregressions (2014)Prior Selection for Vector Au…Large Bayesian vector auto regressions (2009)Large Bayesian vector auto re…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Shocks and Frictions in US Bu…Probabilistic Forecasts, Calibration and Sharpness (2007)Probabilistic Forecasts, Cali…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Do Stock Prices and Volatility Jump? 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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2007Probabilistic Forecasts, Calibration and Sharpness1,774 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 1989A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration1,641 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 1984Forecasting and conditional projection using realistic prior distributions1,203 cited
  • 2009Large Bayesian vector auto regressions1,158 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

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  • 2014Prior Selection for Vector Autoregressions737 cited
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