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Forecasting government bond yields with large Bayesian vector autoregressions
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Cited by:
- Alberto Caruso & Laura Coroneo, 2023. "Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2027-2059, December.
- Kwon, Hyuck-Shin & Bang, Doo Won & Kim, Myeong Hyeon, 2017. "Korean Housing Cycle: Implications for Risk Management (Factor-augmented VAR Approach)," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 39(3), pages 43-62.
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2023. "Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage," International Journal of Forecasting, Elsevier, vol. 39(1), pages 346-363.
- 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.
- Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Papers wuwp235, Vienna University of Economics and Business, Department of Economics.
- Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
- Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2018. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Working Papers in Economics 2018-5, University of Salzburg.
- Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2016. "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Paper Series 235, WU Vienna University of Economics and Business.
- Andrea Carriero & Lorenzo Ricci & Elisabetta Vangelista, 2022. "Expectations and term premia in EFSF bond yields," Working Papers 54, European Stability Mechanism.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014.
"Forecasting with factor-augmented error correction models,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
- Banerjee, Anindya & Marcellino, Massimiliano, 2008. "Factor-augmented Error Correction Models," CEPR Discussion Papers 6707, C.E.P.R. Discussion Papers.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2010. "Forecasting with Factor-augmented Error Correction Models," CEPR Discussion Papers 7677, C.E.P.R. Discussion Papers.
- Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2009. "Forecasting with Factor-Augmented Error Correction Models," Discussion Papers 09-06r, Department of Economics, University of Birmingham.
- Igor Masten & Massimiliano Marcellino & Anindya Banerjeey, 2009. "Forecasting with Factor-augmented Error Correction Models," RSCAS Working Papers 2009/32, European University Institute.
- Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Economics Working Papers ECO2008/15, European University Institute.
- Karlsson, Sune, 2013.
"Forecasting with Bayesian Vector Autoregression,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897,
Elsevier.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019.
"Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2019-07, Economic Statistics Centre of Excellence (ESCoE).
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage," CAMA Working Papers 2019-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Discussion Papers in Economics 19/05, Division of Economics, School of Business, University of Leicester.
- Rubio-RamÃrez, Juan Francisco & Petrella, Ivan & Antolin-Diaz, Juan, 2021.
"Dividend Momentum and Stock Return Predictability: A Bayesian Approach,"
CEPR Discussion Papers
16613, C.E.P.R. Discussion Papers.
- Juan Antolin-Diaz & Ivan Petrella & Juan F. Rubio-Ramirez, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," FRB Atlanta Working Paper 2021-25, Federal Reserve Bank of Atlanta.
- Juan Antolín-Díaz & Ivan Petrella & Juan F. Rubio-Ramírez, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," Working Papers 2021-14, FEDEA.
- Argyropoulos Efthymios & Tzavalis Elias, 2015. "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 49-70, February.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
SIRE Discussion Papers
2015-71, Scottish Institute for Research in Economics (SIRE).
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris & Pettenuzzo, Davide, 2019.
"Adaptive hierarchical priors for high-dimensional vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 241-271.
- Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Business School.
- Dimitris Korobilis & Davide Pettenuzzo, 2018. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions," Working Paper series 18-21, Rimini Centre for Economic Analysis.
- Brave, Scott A. & Butters, R. Andrew & Justiniano, Alejandro, 2019. "Forecasting economic activity with mixed frequency BVARs," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1692-1707.
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ralf Brüggemann & Christian Kascha, 2017.
"Directed Graphs and Variable Selection in Large Vector Autoregressive Models,"
Working Paper Series of the Department of Economics, University of Konstanz
2017-06, Department of Economics, University of Konstanz.
- Bertsche, Dominik & Brüggemann, Ralf & Kascha, Christian, 2019. "Directed Graph and Variable Selection in Large Vector Autoregressive Models," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203656, Verein für Socialpolitik / German Economic Association.
- Dominik Bertsche & Ralf Brüggemann & Christian Kascha, 2018. "Directed Graphs and Variable Selection in Large Vector Autoregressive Models," Working Paper Series of the Department of Economics, University of Konstanz 2018-08, Department of Economics, University of Konstanz.
- Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2023. "General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 69-87, January.
- Duffee, Gregory, 2013.
"Forecasting Interest Rates,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 385-426,
Elsevier.
- Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
- repec:diw:diwwpp:dp1351 is not listed on IDEAS
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021.
"No‐arbitrage priors, drifting volatilities, and the term structure of interest rates,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 495-516, August.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," Working Papers 20-27, Federal Reserve Bank of Cleveland.
- Doo Won Bang & HyuckShin Kwon, 2022. "Policy Impact Analysis of Housing Policies Using Housing Cycles," SAGE Open, , vol. 12(3), pages 21582440221, July.
- Koop, Gary & Korobilis, Dimitris, 2014.
"A new index of financial conditions,"
European Economic Review, Elsevier, vol. 71(C), pages 101-116.
- Gary Koop & Dimitris Korobilis, "undated". "A new index of financial conditions," Working Papers 2013_06, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
- Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
- Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
- Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
- Helmut Lütkepohl, 2014.
"Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey,"
Discussion Papers of DIW Berlin
1351, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut, 2014. "Structural vector autoregressive analysis in a data rich environment: A survey," SFB 649 Discussion Papers 2014-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Dimitris P. Louzis, 2014. "Macroeconomic and credit forecasts in a small economy during crisis: A large Bayesian VAR approach," Working Papers 184, Bank of Greece.
- Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018.
"Forecasting Bond Yields with Segmented Term Structure Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
- Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
- Oskar Gustafsson & Mattias Villani & Pär Stockhammar, 2023.
"Bayesian optimization of hyperparameters from noisy marginal likelihood estimates,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 577-595, June.
- Oskar Gustafsson & Mattias Villani & Par Stockhammar, 2020. "Bayesian Optimization of Hyperparameters from Noisy Marginal Likelihood Estimates," Papers 2004.10092, arXiv.org, revised Aug 2022.
- Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
- repec:hum:wpaper:sfb649dp2014-004 is not listed on IDEAS
- Dimitrios P. Louzis, 2017. "Macroeconomic and credit forecasts during the Greek crisis using Bayesian VARs," Empirical Economics, Springer, vol. 53(2), pages 569-598, September.
- Guanhao Feng & Nicholas Polson, 2020. "Regularizing Bayesian predictive regressions," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 591-608, December.
- Gür Ali, Özden & Gürlek, Ragıp, 2020. "Automatic Interpretable Retail forecasting with promotional scenarios," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1389-1406.
- Shevelev A.A., 2017. "Bayesian approach to evaluate the impact of external shocks on Russian macroeconomics indicators," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 17(1), pages 26-40.
- Almeida, Caio & Ardison, Kym & Kubudi, Daniela, 2014. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
- Andrea Carriero & Davide Pettenuzzo & Shubhranshu Shekhar, 2024. "Macroeconomic Forecasting with Large Language Models," Papers 2407.00890, arXiv.org.
- Carriero, Andrea & Clements, Michael P. & Galvão, Ana Beatriz, 2015. "Forecasting with Bayesian multivariate vintage-based VARs," International Journal of Forecasting, Elsevier, vol. 31(3), pages 757-768.
- William Gatt & Germano Ruisi, 2020. "Housing demand shocks, foreign labour inflows and consumption," CBM Working Papers WP/07/2020, Central Bank of Malta.
- Sebastian Ankargren & Måns Unosson & Yukai Yang, 2018. "A mixed-frequency Bayesian vector autoregression with a steady-state prior," CREATES Research Papers 2018-32, Department of Economics and Business Economics, Aarhus University.
- Prüser Jan & Hanck Christoph, 2021. "A Comparison of Approaches to Select the Informativeness of Priors in BVARs," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(4), pages 501-525, August.
- И Управления Мир Экономики, 2017. "Байесовский подход к анализу влияния монетарной политики на макроэкономические показатели России. Bayesian approach to the analysis of monetary policy impact on Russian macroeconomics indicators," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 17(4), pages 53-70.
- Dominik Bertsche & Ralf Brüggemann & Christian Kascha, 2023. "Directed graphs and variable selection in large vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 223-246, March.
- Gelper, Sarah & Wilms, Ines & Croux, Christophe, 2016. "Identifying Demand Effects in a Large Network of Product Categories," Journal of Retailing, Elsevier, vol. 92(1), pages 25-39.
- Danilo Leiva-Leon, 2017. "Monitoring the Spanish Economy through the Lenses of Structural Bayesian VARs," Occasional Papers 1706, Banco de España.
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.