Bayesian VARs and prior calibration in times of COVID-19

DOI10.1515/snde-2021-0108MaRDI QIDQ6645221

Benny Hartwig

Publication date: 28 November 2024

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

zbMATH Keywords

forecastingcommon time-varying volatilitymultivariate \(t\) errorsoutlier-robust prior calibration

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Nowcasting in a pandemic using non-parametric mixed frequency VARs
• Marginal Likelihood from the Gibbs Output
• Regression Quantiles
• Alternatives to the Median Absolute Deviation
• DSGE Models with Student-tErrors
• Priors for the Long Run
• Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
• Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure

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