Bayesian nonparametric sparse VAR models

DOI10.1016/j.jeconom.2019.04.022zbMath1452.62883arXiv1608.02740OpenAlexW2964145863WikidataQ128006278 ScholiaQ128006278MaRDI QIDQ2323368

Roberto Casarin, Luca Rossini, Monica Billio

Publication date: 2 September 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.02740

zbMATH Keywords

connectednessBayesian nonparametricsBayesian model selectionshrinkagemultilayer networksnetwork communitieslarge vector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Bayesian inference (62F15)

Related Items (10)

Random Forest Variable Selection for Sparse Vector Autoregressive Models ⋮ Inference in Bayesian additive vector autoregressive tree models ⋮ A flexible predictive density combination for large financial data sets in regular and crisis periods ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Hierarchical species sampling models ⋮ Robust Bayesian seemingly unrelated regression model ⋮ Multilayer information spillover networks: measuring interconnectedness of financial institutions ⋮ On consistency and sparsity for high-dimensional functional time series with application to autoregressions ⋮ NetVIX -- a network volatility index of financial markets

Uses Software

• HdBCS

Cites Work

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