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Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models

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Cited by:

  1. Li, Li & Kang, Yanfei & Li, Feng, 2023. "Bayesian forecast combination using time-varying features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1287-1302.
  2. Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang, 2017. "A Neural Stochastic Volatility Model," Papers 1712.00504, arXiv.org, revised Dec 2018.
  3. Antonio A. F. Santos, 2021. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 455-479, February.
  4. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
  5. Huber, Florian, 2017. "Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models," Economics Letters, Elsevier, vol. 150(C), pages 48-52.
  6. Redl, Chris, 2020. "Uncertainty matters: Evidence from close elections," Journal of International Economics, Elsevier, vol. 124(C).
  7. Pfarrhofer, Michael, 2023. "Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters," Macroeconomic Dynamics, Cambridge University Press, vol. 27(3), pages 770-793, April.
  8. Sheng, Xin & Gupta, Rangan & Çepni, Oğuzhan, 2022. "The effects of climate risks on economic activity in a panel of US states: The role of uncertainty," Economics Letters, Elsevier, vol. 213(C).
  9. Manfred M. Fischer & Florian Huber & Michael Pfarrhofer, 2018. "The transmission of uncertainty shocks on income inequality: State-level evidence from the United States," Papers 1806.08278, arXiv.org.
  10. Dávid Zoltán Szabó & Kata Váradi, 2022. "Margin requirements based on a stochastic correlation model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1797-1820, October.
  11. David E. Allen & Michael McAleer, 2020. "Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE," Risks, MDPI, vol. 8(1), pages 1-20, February.
  12. Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023. "A dynamic leverage stochastic volatility model," Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
  13. Cem Cakmakli & Yasin Simsek, 2023. "Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model," Papers 2301.13692, arXiv.org.
  14. Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2021. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," Papers 2112.01995, arXiv.org, revised Nov 2022.
  15. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
  16. Chernis Tony, 2024. "Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 293-317, April.
  17. Florian Huber & Gregor Kastner & Martin Feldkircher, 2019. "Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 621-640, August.
  18. Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Staff Working Papers 23-61, Bank of Canada.
  19. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
  20. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
  21. Niaz Bashiri Behmiri & Maryam Ahmadi & Juha-Pekka Junttila & Matteo Manera, 2021. "Financial Stress and Basis in Energy Markets," The Energy Journal, , vol. 42(5), pages 67-88, September.
  22. Michael Pfarrhofer, 2024. "Forecasts with Bayesian vector autoregressions under real time conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 771-801, April.
  23. Peter Knaus & Sylvia Fruhwirth-Schnatter, 2023. "The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models," Papers 2312.10487, arXiv.org, revised Jan 2025.
  24. Sheng, Xin & Gupta, Rangan & Cepni, Oguzhan, 2022. "Persistence of state-level uncertainty of the United States: The role of climate risks," Economics Letters, Elsevier, vol. 215(C).
  25. Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
  26. Maximilian Böck & Martin Feldkircher & Florian Huber, 2020. "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers 395, Federal Reserve Bank of Dallas.
  27. Conti, Gabriella & Frühwirth-Schnatter, Sylvia & Heckman, James J. & Piatek, Rémi, 2014. "Bayesian exploratory factor analysis," Journal of Econometrics, Elsevier, vol. 183(1), pages 31-57.
  28. Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.
  29. Franz Xaver Zobl & Martin Ertl, 2021. "The Condemned Live Longer – New Evidence of the New Keynesian Phillips Curve in Central and Eastern Europe," Open Economies Review, Springer, vol. 32(4), pages 671-699, September.
  30. Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022. "Selective Linear Segmentation for Detecting Relevant Parameter Changes [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 762-805.
  31. Ines Fortin & Jaroslava Hlouskova & Leopold Sögner, 2023. "Financial and economic uncertainties and their effects on the economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(2), pages 481-521, May.
  32. Pantelis Samartsidis & Shaun R. Seaman & Silvia Montagna & André Charlett & Matthew Hickman & Daniela De Angelis, 2020. "A Bayesian multivariate factor analysis model for evaluating an intervention by using observational time series data on multiple outcomes," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(4), pages 1437-1459, October.
  33. Huber, Florian & Punzi, Maria Teresa, 2020. "International Housing Markets, Unconventional Monetary Policy, And The Zero Lower Bound," Macroeconomic Dynamics, Cambridge University Press, vol. 24(4), pages 774-806, June.
  34. Florian Huber & Gary Koop, 2024. "Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1301-1320, November.
  35. Andrejs Zlobins, 2020. "Country-level effects of the ECB’s expanded asset purchase programme," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 20(2), pages 187-217.
  36. Gupta, Rangan & Nel, Jacobus & Salisu, Afees A. & Ji, Qiang, 2023. "Predictability of economic slowdowns in advanced countries over eight centuries: The role of climate risks," Finance Research Letters, Elsevier, vol. 54(C).
  37. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Working Papers 22-05, Federal Reserve Bank of Cleveland.
  38. Martin Gachter & Elias Hasler & Florian Huber, 2023. "A tale of two tails: 130 years of growth-at-risk," Papers 2302.08920, arXiv.org.
  39. Liu, Zhenya & Wang, Shixuan, 2017. "Decoding Chinese stock market returns: Three-state hidden semi-Markov model," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 127-149.
  40. Michele Costola & Matteo Iacopini & Casper Wichers, 2023. "Bayesian SAR model with stochastic volatility and multiple time-varying weights," Papers 2310.17473, arXiv.org.
  41. Renee van Eyden & Geoffrey Ngene & Oguzhan Cepni & Rangan Gupta, 2022. "The Heterogeneous Impact of Temperature Growth on Real House Price Returns across the US States," Working Papers 202236, University of Pretoria, Department of Economics.
  42. Niko Hauzenberger & Maximilian Bock & Michael Pfarrhofer & Anna Stelzer & Gregor Zens, 2018. "Implications of macroeconomic volatility in the Euro area," Papers 1801.02925, arXiv.org, revised Jun 2018.
  43. Valeria V. Lakshina, 2014. "The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?," HSE Working papers WP BRP 37/FE/2014, National Research University Higher School of Economics.
  44. Martin Feldkircher & Florian Huber, 2018. "Unconventional U.S. Monetary Policy: New Tools, Same Channels?," JRFM, MDPI, vol. 11(4), pages 1-31, October.
  45. Hwai-Chung Ho, 2022. "Forecasting the distribution of long-horizon returns with time-varying volatility," Papers 2201.07457, arXiv.org.
  46. Pfarrhofer, Michael, 2022. "Modeling tail risks of inflation using unobserved component quantile regressions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  47. João Pedro Coli de Souza Monteneri Nacinben & Márcio Laurini, 2024. "Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension," Econometrics, MDPI, vol. 12(1), pages 1-28, February.
  48. Takuji Kinkyo, 2022. "Hedging capabilities of Bitcoin for Asian currencies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1769-1784, April.
  49. Christian Hotz‐Behofsits & Florian Huber & Thomas Otto Zörner, 2018. "Predicting crypto‐currencies using sparse non‐Gaussian state space models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 627-640, September.
  50. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Discussion Paper Series in Economics 31/2018, Norwegian School of Economics, Department of Economics.
  51. Hauzenberger, Niko & Pfarrhofer, Michael & Rossini, Luca, 2025. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," International Journal of Forecasting, Elsevier, vol. 41(1), pages 361-376.
  52. Florian Huber & Daniel Kaufmann, 2020. "Trend Fundamentals and Exchange Rate Dynamics," Economica, London School of Economics and Political Science, vol. 87(348), pages 1016-1036, October.
  53. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2021. "The regional transmission of uncertainty shocks on income inequality in the United States," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 887-900.
  54. Florian Huber & Tamás Krisztin & Philipp Piribauer, 2017. "Forecasting Global Equity Indices Using Large Bayesian Vars," Bulletin of Economic Research, Wiley Blackwell, vol. 69(3), pages 288-308, July.
  55. Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
  56. Hauzenberger Niko & Huber Florian & Koop Gary, 2024. "Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 201-225, April.
  57. David Edmund Allen, 2020. "Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information?," JRFM, MDPI, vol. 13(9), pages 1-25, September.
  58. Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
  59. Theodore Panagiotidis & Georgios Papapanagiotou, 2024. "A note on the determinants of NFTs returns," Discussion Paper Series 2024_02, Department of Economics, University of Macedonia, revised Feb 2024.
  60. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org, revised Aug 2024.
  61. Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
  62. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
  63. Kastner, Gregor, 2019. "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
  64. Shin, Minchul & Zhang, Boyuan & Zhong, Molin & Lee, Dong Jin, 2018. "Measuring international uncertainty: The case of Korea," Economics Letters, Elsevier, vol. 162(C), pages 22-26.
  65. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Measuring uncertainty in the stock market," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 18-33.
  66. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2024. "A Bayesian approach for the determinants of bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 91(C).
  67. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2020. "Bayesian Modelling of TVP-VARs Using Regression Trees," Working Papers 2308, University of Strathclyde Business School, Department of Economics, revised Aug 2023.
  68. Li, Feng & Kang, Yanfei, 2018. "Improving forecasting performance using covariate-dependent copula models," International Journal of Forecasting, Elsevier, vol. 34(3), pages 456-476.
  69. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Reneé van Eyden, 2023. "Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 228-244, June.
  70. Makoto Nakakita & Teruo Nakatsuma, 2021. "Bayesian Analysis of Intraday Stochastic Volatility Models of High-Frequency Stock Returns with Skew Heavy-Tailed Errors," JRFM, MDPI, vol. 14(4), pages 1-29, March.
  71. Huber, Florian, 2014. "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Paper Series 179, WU Vienna University of Economics and Business.
  72. Kreuzer, Alexander & Czado, Claudia, 2021. "Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo," Econometrics and Statistics, Elsevier, vol. 19(C), pages 130-150.
  73. Gupta, Rangan & Huber, Florian & Piribauer, Philipp, 2020. "Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models," International Review of Financial Analysis, Elsevier, vol. 68(C).
  74. Angelos Alexopoulos & Petros Dellaportas & Omiros Papaspiliopoulos, 2019. "Bayesian prediction of jumps in large panels of time series data," Papers 1904.05312, arXiv.org, revised Apr 2021.
  75. Vidal-Llana, Xenxo & Uribe, Jorge M. & Guillén, Montserrat, 2023. "European stock market volatility connectedness: The role of country and sector membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  76. Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
  77. Florian Huber & Tam'as Krisztin & Michael Pfarrhofer, 2018. "A Bayesian panel VAR model to analyze the impact of climate change on high-income economies," Papers 1804.01554, arXiv.org, revised Feb 2021.
  78. Jorge M. Uribe & Montserrat Guillen, 2020. "Generalized Market Uncertainty Measurement in European Stock Markets in Real Time," Mathematics, MDPI, vol. 8(12), pages 1-11, December.
  79. Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Working Papers 2309, University of Strathclyde Business School, Department of Economics.
  80. Niko Hauzenberger & Daniel Kaufmann & Rebecca Stuart & Cédric Tille, 2022. "What Drives Long-Term Interest Rates? Evidence from the Entire Swiss Franc History 1852-2020," IRENE Working Papers 22-03, IRENE Institute of Economic Research.
  81. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
  82. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
  83. Kastner, Gregor, 2016. "Dealing with Stochastic Volatility in Time Series Using the R Package stochvol," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 69(i05).
  84. Kastner, Gregor & Frühwirth-Schnatter, Sylvia, 2014. "Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 408-423.
  85. Bitto, Angela & Frühwirth-Schnatter, Sylvia, 2019. "Achieving shrinkage in a time-varying parameter model framework," Journal of Econometrics, Elsevier, vol. 210(1), pages 75-97.
  86. Nakajima, Jouchi, 2022. "Macroeconomic uncertainty matters: A nonlinear effect of financial volatility on real economic activity," Discussion paper series HIAS-E-121, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  87. Huber, Florian & Rabitsch, Katrin, 2019. "Exchange rate dynamics and monetary policy - Evidence from a non-linear DSGE-VAR approach," Department of Economics Working Paper Series 295, WU Vienna University of Economics and Business.
  88. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2024. "Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1302-1317, October.
  89. Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  90. Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022. "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, vol. 46(PA).
  91. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2024. "Machine Learning the Macroeconomic Effects of Financial Shocks," Papers 2412.07649, arXiv.org.
  92. Nalan Baştürk & Cem Çakmakli & S. Pinar Ceyhan & Herman K. Van Dijk, 2014. "Posterior‐Predictive Evidence On Us Inflation Using Extended New Keynesian Phillips Curve Models With Non‐Filtered Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1164-1182, November.
  93. Ankargren Sebastian & Unosson Måns & Yang Yukai, 2020. "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Journal of Time Series Econometrics, De Gruyter, vol. 12(2), pages 1-41, July.
  94. Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Papers 2404.11057, arXiv.org.
  95. Luis Gruber & Gregor Kastner, 2022. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers 2206.04902, arXiv.org, revised Nov 2024.
  96. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2023. "Tail Forecasting With Multivariate Bayesian Additive Regression Trees," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 979-1022, August.
  97. Gleb Kurovskiy, 2017. "Modelling terms of trade volatility impact on output dynamics in Russia," EcoMod2017 10361, EcoMod.
  98. Gregor Kastner & Florian Huber, 2020. "Sparse Bayesian vector autoregressions in huge dimensions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1142-1165, November.
  99. Gregor Kastner & Sylvia Fruhwirth-Schnatter & Hedibert Freitas Lopes, 2016. "Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models," Papers 1602.08154, arXiv.org, revised Jul 2017.
  100. Andreas Dibiasi & Samad Sarferaz, 2020. "Measuring Macroeconomic Uncertainty: The Labor Channel of Uncertainty from a Cross-Country Perspective," Papers 2006.09007, arXiv.org, revised Dec 2020.
  101. Joseph P. Byrne & Prince Asare Vitenu-Sackey, 2024. "The Macroeconomic Impact of Global and Country-Specific Climate Risk," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(3), pages 655-682, March.
  102. Huber, Florian & Punzi, Maria Teresa, 2017. "The shortage of safe assets in the US investment portfolio: Some international evidence," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 318-336.
  103. Valeriya V. Lakshina & Andrey M. Silaev, 2016. "Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts?," Economics Bulletin, AccessEcon, vol. 36(4), pages 2368-2380.
  104. Sylvia Fruhwirth-Schnatter & Peter Knaus, 2022. "Sparse Bayesian State-Space and Time-Varying Parameter Models," Papers 2207.12147, arXiv.org.
  105. Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
  106. Zhang, Yixiao & Yu, Cindy L. & Li, Haitao, 2022. "Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach," Econometrics and Statistics, Elsevier, vol. 24(C), pages 75-93.
  107. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Working Papers 23-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2023.
  108. Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner, 2017. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?," Papers 1711.00564, arXiv.org, revised Mar 2024.
  109. Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 911-926, September.
  110. Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
  111. Florian Huber & Gregor Kastner & Michael Pfarrhofer, 2018. "Introducing shrinkage in heavy-tailed state space models to predict equity excess returns," Papers 1805.12217, arXiv.org, revised Jul 2019.
  112. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
  113. Souza, M.A.O. & Migon, H.S. & Pereira, J.B.M., 2018. "Extended dynamic generalized linear models: The two-parameter exponential family," Computational Statistics & Data Analysis, Elsevier, vol. 121(C), pages 164-179.
  114. Boeck, Maximilian & Feldkircher, Martin, 2021. "The Impact of Monetary Policy on Yield Curve Expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 887-901.
  115. Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
  116. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
  117. Sebastian Ankargren & Paulina Jon'eus, 2019. "Estimating Large Mixed-Frequency Bayesian VAR Models," Papers 1912.02231, arXiv.org.
  118. Darjus Hosszejni & Gregor Kastner, 2019. "Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage," Papers 1901.11491, arXiv.org, revised Nov 2019.
  119. Chen Gong & David S. Stoffer, 2021. "A Note on Efficient Fitting of Stochastic Volatility Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 186-200, March.
  120. Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
  121. Cross, Jamie L. & Hou, Chenghan & Trinh, Kelly, 2021. "Returns, volatility and the cryptocurrency bubble of 2017–18," Economic Modelling, Elsevier, vol. 104(C).
  122. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.
  123. Eller, Markus & Huber, Florian & Schuberth, Helene, 2020. "How important are global factors for understanding the dynamics of international capital flows?," Journal of International Money and Finance, Elsevier, vol. 109(C).
  124. Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
  125. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers 2311.16333, arXiv.org, revised Apr 2024.
  126. Florian Huber & Michael Pfarrhofer, 2021. "Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(2), pages 262-270, March.
  127. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
  128. Julio-Román, Juan Manuel & Gamboa-Estrada, Fredy Alejandro, 2019. "The Exchange Rate and Oil Prices in Colombia: A High Frequency Analysis," Working papers 22, Red Investigadores de Economía.
  129. Tomasz Wo'zniak, 2024. "Fast and Efficient Bayesian Analysis of Structural Vector Autoregressions Using the R Package bsvars," Papers 2410.15090, arXiv.org.
  130. Steff De Visscher & Markus Eberhardt & Gerdie Everaert, 2017. "Measuring productivity and absorptive capacity evolution," Discussion Papers 2017-11, University of Nottingham, GEP.
  131. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2022. "Bayesian Neural Networks for Macroeconomic Analysis," Papers 2211.04752, arXiv.org, revised Apr 2024.
  132. Anzarut, Michelle & Mena, Ramsés H., 2019. "A Harris process to model stochastic volatility," Econometrics and Statistics, Elsevier, vol. 10(C), pages 151-169.
  133. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Understanding the drivers of capital flows into the CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 79-104.
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  141. Kenji Hatakenaka & Kosuke Oya, 2021. "Bayesian inference for time varying partial adjustment model with application to intraday price discovery," Discussion Papers in Economics and Business 21-19, Osaka University, Graduate School of Economics.
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  144. Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
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  146. Juan Manuel Julio-Román, 2019. "Estimating the Exchange Rate Pass-Through: A Time-Varying Vector Auto-Regression with Residual Stochastic Volatility Approach," Borradores de Economia 1093, Banco de la Republica de Colombia.
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  148. Dibiasi, Andreas & Sarferaz, Samad, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," European Economic Review, Elsevier, vol. 153(C).
  149. Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu, 2018. "Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series," Papers 1811.03711, arXiv.org.
  150. Karlsson, Sune & Mazur, Stepan, 2020. "Flexible Fat-tailed Vector Autoregression," Working Papers 2020:5, Örebro University, School of Business.
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  156. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
  157. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
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