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Bayesian Inference in Dynamic Econometric Models
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Cited by:
- Bauwens, Luc & Rombouts, Jeroen V.K., 2012.
"On marginal likelihood computation in change-point models,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3415-3429.
- BAUWENS, Luc & ROMBOUTS, Jeroen, 2009. "On marginal likelihood computation in change-point models," LIDAM Discussion Papers CORE 2009061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2012. "On marginal likelihood computation in change-point models," LIDAM Reprints CORE 2403, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE.
- Darsinos, T. & Satchell, S.E., 2002. "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics 0217, Faculty of Economics, University of Cambridge.
- Charley Xia and William Griffiths, 2012. "Bayesian Unit Root Testing: The Effect Of Choice Of Prior On Test Outcomes," Department of Economics - Working Papers Series 1152, The University of Melbourne.
- Markus K. Brunnermeier & Christian Julliard, 2008.
"Money Illusion and Housing Frenzies,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 135-180, January.
- Markus K Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," FMG Discussion Papers dp579, Financial Markets Group.
- Brunnermeier, Markus K. & Julliard, Christian, 2006. "Money illusion and housing frenzies," LSE Research Online Documents on Economics 4806, London School of Economics and Political Science, LSE Library.
- Brunnermeier, Markus & Julliard, Christian, 2007. "Money Illusion and Housing Frenzies," CEPR Discussion Papers 6183, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," NBER Working Papers 12810, National Bureau of Economic Research, Inc.
- Marek Jarocinski, 2010.
"Responses to monetary policy shocks in the east and the west of Europe: a comparison,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 833-868.
- Marek Jarocinski, 2004. "Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison," CASE Network Studies and Analyses 0287, CASE-Center for Social and Economic Research.
- Jarociński, Marek, 2008. "Responses to monetary policy shocks in the east and the west of Europe: a comparison," Working Paper Series 970, European Central Bank.
- Marek Jarocinski, 2006. "Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison," Working Papers 124, Oesterreichische Nationalbank (Austrian Central Bank).
- Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
- Scharnagl, Michael & Schumacher, Christian, 2007. "Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities," Discussion Paper Series 1: Economic Studies 2007,09, Deutsche Bundesbank.
- Herwartz, Helmut & Weber, Henning, 2013. "The role of cross-sectional heterogeneity for magnitude and timing of the euro's trade effect," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 48-74.
- Berger, Tino & Everaert, Gerdie & Pozzi, Lorenzo, 2021. "Testing for international business cycles: A multilevel factor model with stochastic factor selection," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
- Sandeep Chandukala & Sylvia Long-Tolbert & Greg Allenby, 2011. "A threshold model for respondent heterogeneity," Marketing Letters, Springer, vol. 22(2), pages 133-146, June.
- Welz, Peter, 2006. "Assessing predetermined expectations in the standard sticky-price model: a Bayesian approach," Working Paper Series 621, European Central Bank.
- Leon-Gonzalez, Roberto & Scarpa, Riccardo, 2008. "Improving multi-site benefit functions via Bayesian model averaging: A new approach to benefit transfer," Journal of Environmental Economics and Management, Elsevier, vol. 56(1), pages 50-68, July.
- Del Negro, Marco & Schorfheide, Frank, 2008.
"Forming priors for DSGE models (and how it affects the assessment of nominal rigidities),"
Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1191-1208, October.
- Marco Del Negro & Frank Schorfheide, 2006. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," FRB Atlanta Working Paper 2006-16, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2008. "Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)," NBER Working Papers 13741, National Bureau of Economic Research, Inc.
- Marco Del Negro & Frank Schorfheide, 2008. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Staff Reports 320, Federal Reserve Bank of New York.
- Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
- Del Negro, Marco & Schorfheide, Frank, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," CEPR Discussion Papers 6119, C.E.P.R. Discussion Papers.
- Petr Geraskin & Dean Fantazzini, 2013.
"Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask,"
The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, May.
- Fantazzini, Dean & Geraskin, Petr, 2011. "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask," MPRA Paper 47869, University Library of Munich, Germany.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005.
"Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(1), pages 387-422.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
- Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013.
"On loss functions and ranking forecasting performances of multivariate volatility models,"
Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche 0948, CIRPEE.
- Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers 2009s-45, CIRANO.
- António Afonso & Ricardo Sousa, 2011.
"The macroeconomic effects of fiscal policy in Portugal: a Bayesian SVAR analysis,"
Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 10(1), pages 61-82, April.
- Ricardo M. Sousa & António Afonso, 2009. "The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis," NIPE Working Papers 3/2009, NIPE - Universidade do Minho.
- António Afonso & Ricardo M. Sousa, 2009. "The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis," Working Papers Department of Economics 2009/09, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
- Matteo Manera & Bruno Sitzia, 2005. "Empirical factor demands and flexible functional forms: a bayesian approach," Economic Systems Research, Taylor & Francis Journals, vol. 17(1), pages 57-75.
- Frank Smets & Rafael Wouters, 2007.
"Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach,"
American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
- Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 722, European Central Bank.
- Smets, Frank & Wouters, Rafael, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers 6112, C.E.P.R. Discussion Papers.
- Frank Smets & Raf Wouters, 2007. "Shocks and Frictions in US Business Cycles : a Bayesian DSGE Approach," Working Paper Research 109, National Bank of Belgium.
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016.
"Testing for Granger causality in large mixed-frequency VARs,"
Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
- Götz, T.B. & Hecq, A.W., 2014. "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum 028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
- No, Sung Chul & Salassi, Michael E., 2006. "Dynamic Analysis and Forecasts of Rough Rice Price under Government Price Support Program: An Application of Bayesian VAR," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35279, Southern Agricultural Economics Association.
- L. Bauwens & J.V.K. Rombouts, 2007.
"Bayesian inference for the mixed conditional heteroskedasticity model,"
Econometrics Journal, Royal Economic Society, vol. 10(2), pages 408-425, July.
- Luc, Bauwens & J.V.K., ROMBOUTS, 2005. "Bayesian inference for the mixed conditional heteroskedasticity model," Discussion Papers (ECON - Département des Sciences Economiques) 2005058, Université catholique de Louvain, Département des Sciences Economiques.
- BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2007. "Bayesian inference for the mixed conditional heteroskedasticity model," LIDAM Reprints CORE 1931, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & ROMBOUTS, Jeroen V.K., 2005. "Bayesian inference for the mixed conditional heteroskedasticity model," LIDAM Discussion Papers CORE 2005085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Jeroen V.K. Rombouts, 2006. "Bayesian inference for the mixed conditional heteroskedasticity model," Cahiers de recherche 06-07, HEC Montréal, Institut d'économie appliquée.
- Zhou Xun & Michel Lubrano, 2013.
"A Bayesian Subjective Poverty Line, One Dollar a Day Revisited,"
AMSE Working Papers
1302, Aix-Marseille School of Economics, France, revised 05 Feb 2013.
- Zhou Xun & Michel Lubrano, 2013. "A Bayesian Subjective Poverty Line, One Dollar a Day Revisited," Working Papers halshs-00793725, HAL.
- Weber, Henning & Herwartz, Helmut, 2008.
"When, how fast and by how much do trade costs change in the euro area?,"
Discussion Papers
2008/18, Free University Berlin, School of Business & Economics.
- Herwartz, Helmut & Weber, Henning, 2008. "When, how fast and by how much do trade costs change in the Euro area?," SFB 649 Discussion Papers 2008-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Herwartz, Helmut & Weber, Henning, 2008. "When, how fast and by how much do trade costs change in the euro area?," Economics Working Papers 2008-17, Christian-Albrechts-University of Kiel, Department of Economics.
- De Graeve, Ferre, 2008.
"The external finance premium and the macroeconomy: US post-WWII evidence,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3415-3440, November.
- Ferre De Graeve, 2006. "The External Finance Premium and the Macroeconomy: US post-WWII Evidence," Computing in Economics and Finance 2006 84, Society for Computational Economics.
- Ferre De Graeve, 2008. "The external finance premium and the macroeconomy: US post-WWII evidence," Working Papers 0809, Federal Reserve Bank of Dallas.
- De Graeve Ferre, 2007. "The External Finance Premium and the Macroeconomy: US post-WWII Evidence," Money Macro and Finance (MMF) Research Group Conference 2006 83, Money Macro and Finance Research Group.
- F. Degraeve, 2007. "The External Finance Premium and the Macroeconomy: US post-WWII Evidence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/482, Ghent University, Faculty of Economics and Business Administration.
- Roberto Leon-Gonzalez & Blessings Majoni, 2023.
"Exact Likelihood for Inverse Gamma Stochastic Volatility Models,"
GRIPS Discussion Papers
23-07, National Graduate Institute for Policy Studies.
- Roberto Leon-Gonzalez & Blessings Majon, 2024. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 24-03, National Graduate Institute for Policy Studies.
- Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," Working Paper series 23-11, Rimini Centre for Economic Analysis.
- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016.
"Structural analysis with Multivariate Autoregressive Index models,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
- Malin Gardberg & Lorenzo Pozzi, 2022.
"Aggregate consumption and wealth in the long run: The impact of financial liberalization,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 161-186, January.
- Gardberg, Malin, 2020. "Aggregate Consumption and Wealth in the Long Run: The Impact of Financial Liberalization," Working Paper Series 1339, Research Institute of Industrial Economics.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2014.
"Bayesian option pricing using mixed normal heteroskedasticity models,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
- Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
- John M Maheu & Azam Shamsi Zamenjani, 2021.
"Nonparametric Dynamic Conditional Beta,"
Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 583-613.
- Maheu, John M & Shamsi, Azam, 2016. "Nonparametric Dynamic Conditional Beta," MPRA Paper 73764, University Library of Munich, Germany.
- T. Berger & G. Everaert, 2006. "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/383, Ghent University, Faculty of Economics and Business Administration.
- Tapas Mishra & Bazoumana Ouattara & Mamata Parhi, 2011. "A Note on Shock Persistence in Total Factor Productivity Growth," Economics Bulletin, AccessEcon, vol. 31(2), pages 1869-1893.
- repec:ebl:ecbull:v:3:y:2008:i:22:p:1-7 is not listed on IDEAS
- Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
- Ant Afonso & Ricardo M. Sousa, 2012.
"The macroeconomic effects of fiscal policy,"
Applied Economics, Taylor & Francis Journals, vol. 44(34), pages 4439-4454, December.
- Ricardo M. Sousa & António Afonso, 2008. "The Macroeconomic Effects of Fiscal Policy," NIPE Working Papers 22/2008, NIPE - Universidade do Minho.
- Afonso, António & Sousa, Ricardo M., 2009. "The macroeconomic effects of fiscal policy," Working Paper Series 991, European Central Bank.
- António Afonso & Ricardo M. Sousa, 2008. "The Macroeconomic Effects of Fiscal Policy," Working Papers Department of Economics 2008/56, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge.
- Jim Malley & Ulrich Woitek, 2011.
"Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital,"
Working Papers
2011_20, Business School - Economics, University of Glasgow.
- Jim Malley & Ulrich Woitek, 2011. "Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital," CESifo Working Paper Series 3567, CESifo.
- Malley, James & Woitek, Ulrich, 2011. "Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital," SIRE Discussion Papers 2011-71, Scottish Institute for Research in Economics (SIRE).
- Ballester, Laura & López, Jesúa & Pavía, Jose M., 2023. "European systemic credit risk transmission using Bayesian networks," Research in International Business and Finance, Elsevier, vol. 65(C).
- Jeroen Rombouts & Marno Verbeek, 2009.
"Evaluating portfolio Value-at-Risk using semi-parametric GARCH models,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 737-745.
- Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée.
- ROMBOUTS, Jeroen VK & VERBEEK, Marno, 2009. "Evaluating portfolio value-at-risk using semi-parametric GARCH models," LIDAM Reprints CORE 2299, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," ERIM Report Series Research in Management ERS-2004-107-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics.
- Roberto Leon-Gonzalez, "undated". "Data Augmentation in Limited-Dependent Variable Models," Discussion Papers 02/09, Department of Economics, University of York.
- Chiara Scotti, 2011. "A Bivariate Model of Federal Reserve and ECB Main Policy Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 37-78, September.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010.
"Forecasting Government Bond Yields with Large Bayesian VARs,"
Working Papers
662, Queen Mary University of London, School of Economics and Finance.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers 7796, C.E.P.R. Discussion Papers.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2022.
"The global component of inflation volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 700-721, June.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018. "The global component of inflation volatility," Temi di discussione (Economic working papers) 1170, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Carriero, Andrea & Corsello, Francesco, 2019. "The Global Component of Inflation Volatility," CEPR Discussion Papers 13470, C.E.P.R. Discussion Papers.
- Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K., 2007.
"On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks,"
Journal of Econometrics, Elsevier, vol. 139(1), pages 154-180, July.
- HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," LIDAM Discussion Papers CORE 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & van DIJK, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," LIDAM Reprints CORE 1922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," Econometric Institute Research Papers EI 2005-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Gregor Bäurle, 2013. "Structural Dynamic Factor Analysis Using Prior Information From Macroeconomic Theory," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 136-150, April.
- L. Pozzi, 2005. "Income uncertainty and aggregate consumption," Working Paper Research 77, National Bank of Belgium.
- L. Bauwens & J. V. K. Rombouts, 2007.
"Bayesian Clustering of Many Garch Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 365-386.
- BAUWENS, Luc & ROMBOUTS, Jeroen, 2003. "Bayesian clustering of many GARCH models," LIDAM Discussion Papers CORE 2003087, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2007. "Bayesian clustering of many GARCH models," LIDAM Reprints CORE 1916, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Summers, Peter M., 2004.
"Bayesian evidence on the structure of unemployment,"
Economics Letters, Elsevier, vol. 83(3), pages 299-306, June.
- Peter M. Summers, 2003. "Bayesian Evidence on the Structure of Unemployment," Melbourne Institute Working Paper Series wp2003n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Jana Eklund & Sune Karlsson, 2007.
"Forecast Combination and Model Averaging Using Predictive Measures,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series 191, Sveriges Riksbank (Central Bank of Sweden).
- Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging Using Predictive Measures," CEPR Discussion Papers 5268, C.E.P.R. Discussion Papers.
- Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies.
- George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012.
"Assessing the Economy‐wide Effects of Quantitative Easing,"
Economic Journal, Royal Economic Society, vol. 122(564), pages 316-347, November.
- Kapetanios, George & Mumtaz, Haroon & Stevens, Ibrahim & Theodoridis, Konstantinos, 2012. "Assessing the economy-wide effects of quantitative easing," Bank of England working papers 443, Bank of England.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015.
"Bayesian VARs: Specification Choices and Forecast Accuracy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 46-73, January.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2011. "Bayesian VARs: specification choices and forecast accuracy," Working Papers (Old Series) 1112, Federal Reserve Bank of Cleveland.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
- Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000.
"Daily exchange rate behaviour and hedging of currency risk,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 99-078/4, Tinbergen Institute.
- Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 2000. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Research Papers EI 2000-25/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 1999. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Research Papers EI 9936/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute.
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
- Maarten Dossche & Gerdie Everaert, 2005.
"Measuring inflation persistence: A structural time series approach,"
Money Macro and Finance (MMF) Research Group Conference 2005
85, Money Macro and Finance Research Group.
- Maarten Dossche & Gerdie Everaert, 2005. "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005 459, Society for Computational Economics.
- Maarten Dossche & Gerdie Everaert, 2005. "Measuring inflation persistence: a structural time series approach," Working Paper Research 70, National Bank of Belgium.
- M. Dossche & G. Everaert, 2005. "Measuring inflation persistence: a structural time series approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/340, Ghent University, Faculty of Economics and Business Administration.
- Dossche, Maarten & Everaert, Gerdie, 2005. "Measuring inflation persistence: a structural time series approach," Working Paper Series 495, European Central Bank.
- Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
- Kelvin Balcombe & Iain Fraser & Abhijit Sharma, 2011.
"Bayesian model averaging and identification of structural breaks in time series,"
Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3805-3818.
- Fraser, Iain & Balcombe, Kelvin & Sharma, Abhijit, 2007. "Bayesian Model Averaging and Identification of Structural Breaks in Time Series," MPRA Paper 8676, University Library of Munich, Germany.
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