FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS

DOI10.1111/boer.12094zbMath1367.91151OpenAlexW1756191993MaRDI QIDQ4976362

Florian Huber, Philipp Piribauer, Tamás Krisztin

Publication date: 28 July 2017

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: http://pure.iiasa.ac.at/id/eprint/13713/1/FORECASTING%20GLOBAL%20EQUITY%20INDICES%20USING%20LARGE%20BAYESIAN%20VARS.pdf

zbMATH Keywords

BVARstochastic volatilityforecastingequity indiceslog-scores

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (1)

A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies

Uses Software

• bvarsv
• stochvol

Cites Work

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
• Forecasting multivariate realized stock market volatility
• Autoregressive conditional heteroskedasticity and changes in regime
• Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index.
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Forecasting and conditional projection using realistic prior distributions
• Forecasting Performance of an Open Economy DSGE Model
• Time Varying Structural Vector Autoregressions and Monetary Policy

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