bvarsv

bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters. R/C++ implementation of the model proposed by Primiceri (”Time Varying Structural Vector Autoregressions and Monetary Policy”, Review of Economic Studies, 2005), with a focus on generating posterior predictive distributions.


References in zbMATH (referenced in 78 articles , 1 standard article )

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  1. Fisher, Jared D.; Pettenuzzo, Davide; Carvalho, Carlos M.: Optimal asset allocation with multivariate Bayesian dynamic linear models (2020)
  2. Karlsson, Sune; Österholm, Pär: The relation between the corporate bond-yield spread and the real economy: stable or time-varying? (2020)
  3. Nakajima, Jouchi: Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions” (2020)
  4. West, Mike: Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions (2020)
  5. Angela Bitto-Nemling, Annalisa Cadonna, Sylvia Frühwirth-Schnatter, Peter Knaus: Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP (2019) arXiv
  6. Bitto, Angela; Frühwirth-Schnatter, Sylvia: Achieving shrinkage in a time-varying parameter model framework (2019)
  7. Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano: Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors (2019)
  8. Irie, Kaoru; West, Mike: Bayesian emulation for multi-step optimization in decision problems (2019)
  9. Kapetanios, George; Masolo, Riccardo M.; Petrova, Katerina; Waldron, Matthew: A time-varying parameter structural model of the UK economy (2019)
  10. Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide: Bayesian compressed vector autoregressions (2019)
  11. Korobilis, Dimitris; Pettenuzzo, Davide: Adaptive hierarchical priors for high-dimensional vector autoregressions (2019)
  12. McAlinn, Kenichiro; West, Mike: Dynamic Bayesian predictive synthesis in time series forecasting (2019)
  13. Moura, Guilherme V.; Noriller, Mateus R.: Maximum likelihood estimation of a TVP-VAR (2019)
  14. Neusser, Klaus: Time-varying rational expectations models (2019)
  15. Petrova, Katerina: Quasi-Bayesian estimation of time-varying volatility in DSGE models (2019)
  16. Petrova, Katerina: A quasi-Bayesian local likelihood approach to time varying parameter VAR models (2019)
  17. Smith, Simon C.; Timmermann, Allan; Zhu, Yinchu: Variable selection in panel models with breaks (2019)
  18. Wang, Bin: Measuring the natural rate of interest of China: a time varying perspective (2019)
  19. Zhang, Wen: Deciphering the causes for the post-1990 slow output recoveries (2019)
  20. Caraiani, Petre; Călin, Adrian Cantemir: The effects of monetary policy on stock market bubbles at zero lower bound: revisiting the evidence (2018)

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