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Comparing and evaluating Bayesian predictive distributions of asset returns. (2010). Geweke, John ; amisano, gianni.
In: International Journal of Forecasting.
RePEc:eee:intfor:v:26:y::i:2:p:216-230.

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  1. .

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  2. Forecasts with Bayesian vector autoregressions under real time conditions. (2024). Pfarrhofer, Michael.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:43:y:2024:i:3:p:771-801.

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  3. Approximate Factor Models with a Common Multiplicative Factor for Stochastic Volatility. (2024). Leon-Gonzalez, Roberto ; Majoni, Blessings.
    In: Working Paper series.
    RePEc:rim:rimwps:24-04.

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  4. Predicting tail risks and the evolution of temperatures. (2024). Martins, Luis F ; Gabriel, Vasco J ; Phella, Anthoulla.
    In: Energy Economics.
    RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988323007843.

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  5. .

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  6. Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401.

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  7. General Bayesian time?varying parameter vector autoregressions for modeling government bond yields. (2023). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:38:y:2023:i:1:p:69-87.

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  8. Obesity and labour market outcomes in Italy: a dynamic panel data evidence with correlated random effects. (2023). Pacifico, Antonio.
    In: The European Journal of Health Economics.
    RePEc:spr:eujhec:v:24:y:2023:i:4:d:10.1007_s10198-022-01493-3.

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  9. Modelling Okun’s law: Does non-Gaussianity matter?. (2023). Österholm, Pär ; Kiss, Tamas ; Osterholm, Par ; Nguyen, Hoang.
    In: Empirical Economics.
    RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02309-2.

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  10. Forecast combinations: An over 50-year review. (2023). Li, Feng ; Kang, Yanfei ; Hyndman, Rob J ; Wang, Xiao Qian.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:4:p:1518-1547.

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  11. Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302.

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  12. Real estate illiquidity and returns: A time-varying regional perspective. (2023). Zhu, Yunyi ; Fu, XI ; Ellington, Michael.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:1:p:58-72.

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  13. The COVID-19 shock and challenges for inflation modelling. (2023). Hartwig, Benny ; Bobeica, Elena.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:1:p:519-539.

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  14. Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. (2023). Goldman, Elena.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004002.

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  15. A flexible predictive density combination for large financial data sets in regular and crisis periods. (2023). Casarin, Roberto ; Grassi, Stefano ; van Dijk, Herman K ; Ravazzolo, Francesco.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002093.

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  16. Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

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  17. Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972.

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  18. Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

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  19. A Mixed Frequency BVAR for the Euro Area Labour Market. (2023). Hernndez, Catalina Martnez ; Foroni, Claudia ; Consolo, Agostino.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:85:y:2023:i:5:p:1048-1082.

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  20. Addressing COVID-19 outliers in BVARs with stochastic volatility. (2022). Marcellino, Massimiliano ; Clark, Todd ; Mertens, Elmar ; Carriero, Andrea.
    In: Discussion Papers.
    RePEc:zbw:bubdps:132022.

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  21. Modelling sustainability efficiency in banking. (2022). Tsionas, Mike G ; Tan, Yong.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3754-3772.

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  22. A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods. (2022). van Dijk, Herman K ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20220053.

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  23. Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships. (2022). Wroblewska, Justyna ; Pajor, Anna.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:12:y:2022:i:3:d:10.1007_s40822-022-00203-x.

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  24. Bayesian estimation of the long-run trend of the US economy. (2022). Kim, Jaeho ; Chon, Sora.
    In: Empirical Economics.
    RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02024-4.

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  25. On the volatility of cryptocurrencies. (2022). Stengos, Thanasis ; Papapanagiotou, Georgios ; Panagiotidis, Theodore.
    In: Working Papers.
    RePEc:gue:guelph:2022-02.

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  26. Random and Markov switching exponential smoothing models. (2022). Tsionas, Mike G.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:174:y:2022:i:c:s0040162521007022.

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  27. On the volatility of cryptocurrencies. (2022). Stengos, Thanasis ; Papapanagiotou, Georgios ; Panagiotidis, Theodore.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:62:y:2022:i:c:s027553192200112x.

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  28. Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models. (2022). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001756.

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  29. Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
  30. Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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  31. Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan.
    In: European Economic Review.
    RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439.

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  32. Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach. (2022). Li, Haitao ; Yu, Cindy L ; Zhang, Yixiao.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:24:y:2022:i:c:p:75-93.

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  33. Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models. (2022). Zhang, Boyuan.
    In: Papers.
    RePEc:arx:papers:2211.16714.

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  34. Forecasting euro area inflation using a huge panel of survey expectations. (2022). Pfarrhofer, Michael ; onorante, luca ; Huber, Florian.
    In: Papers.
    RePEc:arx:papers:2207.12225.

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  35. Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis.
    In: Papers.
    RePEc:arx:papers:2206.04902.

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  36. Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Markets. (2022). Magris, Martin ; Iosifidis, Alexandros ; Shabani, Mostafa.
    In: Papers.
    RePEc:arx:papers:2203.03613.

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  37. No?arbitrage priors, drifting volatilities, and the term structure of interest rates. (2021). Clark, Todd ; Carriero, Andrea ; Marcellino, Massimiliano.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:5:p:495-516.

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  38. Combining shrinkage and sparsity in conjugate vector autoregressive models. (2021). Huber, Florian ; Onorante, Luca ; Hauzenberger, Niko.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:3:p:304-327.

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  39. Dynamic shrinkage in time?varying parameter stochastic volatility in mean models. (2021). Pfarrhofer, Michael ; Huber, Florian.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:2:p:262-270.

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  40. Nonlinear effects of government spending shocks in the USA: Evidence from state?level data. (2021). Sunderplassmann, Laura ; Mumtaz, Haroon.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:1:p:86-97.

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  41. General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred ; Pfarrhofer, Michael.
    In: Working Papers in Regional Science.
    RePEc:wiw:wus046:8006.

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  42. Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth. (2021). Siliverstovs, Boriss.
    In: Working Papers.
    RePEc:ltv:wpaper:202101.

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  43. Vector autoregression models with skewness and heavy tails. (2021). Nguyen, Hoang ; Karlsson, Sune ; Mazur, Stepan.
    In: Working Papers.
    RePEc:hhs:oruesi:2021_008.

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  44. The Impact of Forecasting Jumps on Forecasting Electricity Prices. (2021). Kostrzewska, Jadwiga ; Kostrzewski, Maciej.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:2:p:336-:d:477466.

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  45. New York FED Staff Nowcasts and Reality: What Can We Learn about the Future, the Present, and the Past?. (2021). Siliverstovs, Boriss.
    In: Econometrics.
    RePEc:gam:jecnmx:v:9:y:2021:i:1:p:11-:d:511974.

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  46. Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility. (2021). Tsionas, Mike G.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309456.

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  47. From pandemic to financial contagion: High-frequency risk metrics and Bayesian volatility analysis. (2021). Davidovic, Milivoje.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:42:y:2021:i:c:s154461232031727x.

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  48. A mixed frequency BVAR for the euro area labour market. (2021). Foroni, Claudia ; Hernandez, Catalina Martinez ; Consolo, Agostino.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20212601.

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  49. Macroeconomic uncertainty and forecasting macroeconomic aggregates. (2021). Magnus, Reif.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:5.

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  50. Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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  51. Forecasting with VAR-teXt and DFM-teXt Models:exploring the predictive power of central bank communication. (2021). Ferreira, Leonardo.
    In: Working Papers Series.
    RePEc:bcb:wpaper:559.

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  52. Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei.
    In: Papers.
    RePEc:arx:papers:2108.02082.

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  53. Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan.
    In: Papers.
    RePEc:arx:papers:2105.11182.

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  54. General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M.
    In: Papers.
    RePEc:arx:papers:2102.13393.

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  55. Sparse Bayesian vector autoregressions in huge dimensions. (2020). Kastner, Gregor ; Huber, Florian.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:7:p:1142-1165.

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  56. A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Pfarrhofer, Michael ; Huber, Florian ; Piribauer, Philipp.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:6:p:911-926.

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  57. Model instability in predictive exchange rate regressions. (2020). Huber, Florian ; Hauzenberger, Niko.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:2:p:168-186.

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  58. A novel forecasting model for the Baltic dry index utilizing optimal squeezing. (2020). Tsionas, Mike ; Izzeldin, Marwan ; Merika, Anna ; Merikas, Andreas ; Makridakis, Spyros.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:1:p:56-68.

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  59. Higher Moment Constraints for Predictive Density Combinations. (2020). Vasnev, Andrey ; Radchenko, Peter ; Pauwels, Laurent.
    In: Working Papers.
    RePEc:syb:wpbsba:2123/22140.

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  60. Loss-based approach to two-piece location-scale distributions with applications to dependent data. (2020). Rossini, Luca ; Villa, Cristiano ; Leisen, Fabrizio.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:29:y:2020:i:2:d:10.1007_s10260-019-00481-x.

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  61. A Bayesian Signals Approach for the Detection of Crises. (2020). Tsionas, Mike ; Michaelides, Panayotis ; Xidonas, Panos.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-019-00186-8.

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  62. Aggregate density forecasting from disaggregate components using Bayesian VARs. (2020). Cobb, Marcus.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01720-6.

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  63. Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts. (2020). Siliverstovs, Boriss.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01704-6.

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  64. Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band. (2020). Hernandez, Juan.
    In: MPRA Paper.
    RePEc:pra:mprapa:100744.

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  65. No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers.
    RePEc:fip:fedcwq:88748.

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  66. The determinants of bank loan recovery rates in good times and bad – New evidence. (2020). Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S ; Wang, Hong.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:177:y:2020:i:c:p:875-897.

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  67. Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models. (2020). Huber, Florian ; GUPTA, RANGAN ; Piribauer, Philipp.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:68:y:2020:i:c:s1057521918307555.

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  68. Partially censored posterior for robust and efficient risk evaluation. (2020). Hoogerheide, Lennart ; Borowska, Agnieszka ; van Dijk, Herman K ; Koopman, Siem Jan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:2:p:335-355.

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  69. Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus.
    In: ifo Beiträge zur Wirtschaftsforschung.
    RePEc:ces:ifobei:87.

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  70. Unobserved components models with stochastic volatility for extracting trends and cycles in credit. (2020). O'Brien, Martin ; Velasco, Sofia.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:09/rt/20.

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  71. Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band. (2020). Hernandez, Juan Ramon.
    In: Working Papers.
    RePEc:bdm:wpaper:2020-02.

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  72. Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin.
    In: Papers.
    RePEc:arx:papers:2012.08155.

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  73. A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger.
    In: Papers.
    RePEc:arx:papers:2012.02708.

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  74. Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios.
    In: Papers.
    RePEc:arx:papers:2011.03741.

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  75. Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia.
    In: Papers.
    RePEc:arx:papers:2007.13566.

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  76. Forecasting with Bayesian Grouped Random Effects in Panel Data. (2020). Zhang, Boyuan.
    In: Papers.
    RePEc:arx:papers:2007.02435.

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  77. Dynamic shrinkage in time-varying parameter stochastic volatility in mean models. (2020). Pfarrhofer, Michael ; Huber, Florian.
    In: Papers.
    RePEc:arx:papers:2005.06851.

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  78. Forecasts with Bayesian vector autoregressions under real time conditions. (2020). Pfarrhofer, Michael.
    In: Papers.
    RePEc:arx:papers:2004.04984.

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  79. Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models. (2020). Huber, Florian ; Onorante, Luca ; Hauzenberger, Niko.
    In: Papers.
    RePEc:arx:papers:2002.08760.

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  80. A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael.
    In: Papers.
    RePEc:arx:papers:2001.03935.

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  81. VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS. (2019). Bertschinger, Nils ; Pfante, Oliver.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500134.

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  82. Partially Censored Posterior for Robust and Efficient Risk Evaluation. (2019). van Dijk, Herman ; Koopman, Siem Jan ; Hoogerheide, Lennart ; Borowska, Agnieszka.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20190057.

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  83. Higher Moment Constraints for Predictive Density Combinations. (2019). Vasnev, Andrey ; Pauwels, Laurent ; Radchenko, Peter.
    In: Working Papers.
    RePEc:syb:wpbsba:2123/20175.

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  84. One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models. (2019). Wroblewska, Justyna ; Pajor, Anna .
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:11:y:2019:i:1:p:23-45.

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  85. How useful are time-varying parameter models for forecasting economic growth in CESEE?. (2019). Feldkircher, Martin ; Hauzenberger, Nico.
    In: Focus on European Economic Integration.
    RePEc:onb:oenbfi:y:2019:i:q1/19:b:2.

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  86. Forecasting Observables with Particle Filters: Any Filter Will Do!. (2019). McCabe, Brendan ; Martin, Gael M ; Forbes, Catherine S ; Leung, Patrick.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2019-22.

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  87. Hierarchical Forecasting. (2019). Hyndman, Rob ; Affan, Mohamed ; Panagiotelis, Anastasios ; Gamakumara, Puwasala ; Athanasopoulos, George.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2019-2.

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  88. Assessing Nowcast Accuracy of US GDP Growth in Real Time: The Role of Booms and Busts. (2019). Siliverstovs, Boriss.
    In: Working Papers.
    RePEc:ltv:wpaper:201901.

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  89. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2019). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:2:p:508-540.

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  90. Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?. (2019). Grassi, Stefano ; Santabarbara, Luca ; Muglia, Camilla.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:93-:d:235917.

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  91. Forecasting cryptocurrencies under model and parameter instability. (2019). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:2:p:485-501.

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  92. Threshold cointegration in international exchange rates:A Bayesian approach. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:2:p:458-473.

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  93. Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior. (2019). Yu, Cindy ; Follett, Lendie .
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:11:y:2019:i:c:p:130-144.

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  94. Adaptive hierarchical priors for high-dimensional vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:241-271.

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  95. Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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  96. Achieving shrinkage in a time-varying parameter model framework. (2019). Fruhwirth-Schnatter, Sylvia ; Bitto, Angela.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:210:y:2019:i:1:p:75-97.

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  97. Bayesian compressed vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris ; Koop, Gary.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:210:y:2019:i:1:p:135-154.

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  98. Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192250.

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  99. Density Forecasting. (2019). Ravazzolo, Francesco ; Casarin, Roberto ; Bassetti, Federico.
    In: BEMPS - Bozen Economics & Management Paper Series.
    RePEc:bzn:wpaper:bemps59.

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  100. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol. (2019). Kastner, Gregor.
    In: Papers.
    RePEc:arx:papers:1906.12134.

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  101. Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus.
    In: Papers.
    RePEc:arx:papers:1906.12123.

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  102. Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos.
    In: Papers.
    RePEc:arx:papers:1904.05312.

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  103. Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison. (2018). Zubairy, Sarah ; Kormilitsina, Anna .
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:50:y:2018:i:7:p:1571-1616.

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  104. Dealing with heterogeneity in panel VARs using sparse finite mixtures. (2018). Huber, Florian.
    In: Department of Economics Working Paper Series.
    RePEc:wiw:wus005:6247.

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  105. The Evolution of Forecast Density Combinations in Economics. (2018). van Dijk, Herman ; Mitchell, James ; Aastveit, Knut Are ; Ravazzolo, Francesco.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20180069.

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  106. Combined Density Nowcasting in an Uncertain Economic Environment. (2018). van Dijk, Herman ; Ravazzolo, Francesco ; Aastveit, Knut Are.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:36:y:2018:i:1:p:131-145.

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  107. A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets. (2018). Casarin, Roberto ; Tronzano, Marco ; Sartore, Domenico.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:36:y:2018:i:1:p:101-114.

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  108. Model instability in predictive exchange rate regressions. (2018). Huber, Florian ; Hauzenberger, Niko.
    In: Working Papers in Economics.
    RePEc:ris:sbgwpe:2018_008.

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  109. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. (2018). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin.
    In: Working Papers in Economics.
    RePEc:ris:sbgwpe:2018_005.

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  110. Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective. (2018). Liu, Laura.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2018-36.

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  111. Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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  112. Improving forecasting performance using covariate-dependent copula models. (2018). Li, Feng ; Kang, Yanfei.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:3:p:456-476.

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  113. Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_273.

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  114. Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates. (2018). Reif, Magnus.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_265.

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  115. Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo.
    In: Working Papers.
    RePEc:bny:wpaper:0063.

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  116. Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica.
    In: Working Papers.
    RePEc:bny:wpaper:0060.

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  117. Data†Driven Identification Constraints for DSGE Models. (2018). Lanne, Markku ; Luoto, Jani.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:80:y:2018:i:2:p:236-258.

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  118. Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura.
    In: Papers.
    RePEc:arx:papers:1805.04178.

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  119. Dealing with cross-country heterogeneity in panel VARs using finite mixture models. (2018). Huber, Florian.
    In: Papers.
    RePEc:arx:papers:1804.01554.

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  120. Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian.
    In: Papers.
    RePEc:arx:papers:1801.06373.

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  121. Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica.
    In: Papers.
    RePEc:arx:papers:1801.01093.

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  122. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. (2018). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin.
    In: Papers.
    RePEc:arx:papers:1607.04532.

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  123. A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations. (2017). Lanne, Markku ; Luoto, Jani.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:49:y:2017:i:5:p:969-995.

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  124. Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models. (2017). Warne, Anders ; Coenen, Günter ; Christoffel, Kai .
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:32:y:2017:i:1:p:103-119.

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  125. The role of US based FDI flows for global output dynamics. (2017). Huber, Florian ; Fischer, Manfred ; Piribauer, Philipp.
    In: Department of Economics Working Paper Series.
    RePEc:wiw:wus005:5427.

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  126. The role of US based FDI flows for global output dynamics. (2017). Huber, Florian ; Fischer, Manfred ; Piribauer, Philipp.
    In: Department of Economics Working Papers.
    RePEc:wiw:wiwwuw:wuwp239.

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  127. Forecasting Macroeconomic Variables Under Model Instability. (2017). Pettenuzzo, Davide ; Timmermann, Allan.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:35:y:2017:i:2:p:183-201.

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  128. Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section. (2017). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:35:y:2017:i:1:p:110-129.

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  129. Macroeconomic and credit forecasts during the Greek crisis using Bayesian VARs. (2017). Louzis, Dimitrios.
    In: Empirical Economics.
    RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1128-y.

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  130. Financial conditions and density forecasts for US output and inflation. (2017). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: Review of Economic Dynamics.
    RePEc:red:issued:14-103.

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  131. Aggregate Density Forecasting from Disaggregate Components Using Large VARs. (2017). Cobb, Marcus.
    In: MPRA Paper.
    RePEc:pra:mprapa:76849.

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  132. Density Forecasts in Panel Models: A semiparametric Bayesian Perspective*. (2017). Liu, Laura.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:17-006.

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  133. Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2017-9.

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  134. Forecasting inflation in emerging markets: An evaluation of alternative models. (2017). Mandalinci, Zeyyad.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1082-1104.

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  135. Forecasting inflation: Phillips curve effects on services price measures. (2017). Zaman, Saeed ; Tallman, Ellis.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:2:p:442-457.

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  136. Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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  137. Quantile regression forecasts of inflation under model uncertainty. (2017). Korobilis, Dimitris.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:1:p:11-20.

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  138. Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

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  139. Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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  140. Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models. (2017). Huber, Florian.
    In: Economics Letters.
    RePEc:eee:ecolet:v:150:y:2017:i:c:p:48-52.

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  141. Forecast accuracy of a BVAR under alternative specifications of the zero lower bound. (2017). Berg, Tim ; Oliver, Berg Tim .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:21:y:2017:i:2:p:29:n:2.

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  142. Cross-validatory extreme value threshold selection and uncertainty with application to ocean storm severity. (2017). Northrop, Paul J ; Jonathan, Philip ; Attalides, Nicolas.
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:66:y:2017:i:1:p:93-120.

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  143. Macroeconomic activity and risk indicators: an unstable relationship. (2017). Marcellino, Massimiliano ; Abbate, Angela.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1756.

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  144. Sparse Bayesian time-varying covariance estimation in many dimensions. (2017). Kastner, Gregor.
    In: Papers.
    RePEc:arx:papers:1608.08468.

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  145. Point, interval and density forecasts of exchange rates with time-varying parameter models. (2016). Marcellino, Massimiliano ; Abbate, Angela.
    In: Discussion Papers.
    RePEc:zbw:bubdps:192016.

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  146. Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model. (2016). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin.
    In: Department of Economics Working Paper Series.
    RePEc:wiw:wus005:5178.

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  147. Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model. (2016). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin.
    In: Department of Economics Working Papers.
    RePEc:wiw:wiwwuw:wuwp235.

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  148. Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison. (2016). Zubairy, Sarah ; Kormilitsina, Anna.
    In: Departmental Working Papers.
    RePEc:smu:ecowpa:1608.

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  149. Forecasting the Polish Inflation Using Bayesian VAR Models with Seasonality. (2016). Szafrański, Grzegorz ; Stelmasiak, Damian ; Szafraski, Grzegorz.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:8:y:2016:i:1:p:21-42.

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  150. Stock Return Prediction with Fully Flexible Models and Coefficients. (2016). Fu, Rong ; Byrne, Joseph.
    In: MPRA Paper.
    RePEc:pra:mprapa:75366.

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  151. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2016-8.

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  152. Dealing with Stochastic Volatility in Time Series Using the R Package stochvol. (2016). Kastner, Gregor.
    In: Journal of Statistical Software.
    RePEc:jss:jstsof:v:069:i05.

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  153. Bayesian Compressed Vector Autoregressions. (2016). Pettenuzzo, Davide ; Koop, Gary ; Korobilis, Dimitris.
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    RePEc:gla:glaewp:2016_09.

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  154. Bayesian Calibration of Generalized Pools of Predictive Distributions. (2016). Ravazzolo, Francesco ; Casarin, Roberto ; Mantoan, Giulia .
    In: Econometrics.
    RePEc:gam:jecnmx:v:4:y:2016:i:1:p:17-:d:65855.

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  155. A Time Series Model of Interest Rates With the Effective Lower Bound. (2016). Mertens, Elmar ; Johannsen, Benjamin K.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2016-33.

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  156. Can credit spreads help predict a yield curve?. (2016). Abdymomunov, Azamat ; Jeong, KI ; Ho, Kyu.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:64:y:2016:i:c:p:39-61.

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  157. Dynamic model averaging in large model spaces using dynamic Occam׳s window. (2016). onorante, luca ; Raftery, Adrian E.
    In: European Economic Review.
    RePEc:eee:eecrev:v:81:y:2016:i:c:p:2-14.

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  158. A MIDAS approach to modeling first and second moment dynamics. (2016). Pettenuzzo, Davide ; Valkanov, Rossen ; Timmermann, Allan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:2:p:315-334.

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  159. Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR. (2016). Huber, Florian ; Feldkircher, Martin ; Dovern, Jonas.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:70:y:2016:i:c:p:86-100.

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  160. Testing for the number of states in hidden Markov models. (2016). Holzmann, Hajo ; Schwaiger, Florian .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:318-330.

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  161. Point, interval and density forecasts of exchange rates with time-varying parameter models. (2016). Marcellino, Massimiliano ; Abbate, Angela.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11559.

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  162. Forecasting Macroeconomic Variables under Model Instability. (2016). Pettenuzzo, Davide ; Timmermann, Allan G.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11355.

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  163. Bayesian Semiparametric Forecasts of Real Interest Rate Data. (2016). Deschamps, Philippe.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2016050.

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  164. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2016). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio .
    In: Working Papers.
    RePEc:brd:wpaper:75r.

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  165. Bayesian Compressed Vector Autoregressions. (2016). Pettenuzzo, Davide ; Koop, Gary ; Korobilis, Dimitris.
    In: Working Papers.
    RePEc:brd:wpaper:103r.

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  166. Bayesian Compressed Vector Autoregressions. (2016). Pettenuzzo, Davide ; Koop, Gary ; Korobilis, Dimitris.
    In: Working Papers.
    RePEc:brd:wpaper:103.

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  167. Oil-price density forecasts of US GDP. (2016). Ravazzolo, Francesco ; Francesco, Ravazzolo ; Philip, Rothman .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:20:y:2016:i:4:p:441-453:n:7.

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  168. Alternatives to large VAR, VARMA and multivariate stochastic volatility models. (2016). Tsionas, Mike.
    In: Working Papers.
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  169. Alternative Bayesian compression in Vector Autoregressions and related models. (2016). Tsionas, Mike.
    In: Working Papers.
    RePEc:bog:wpaper:216.

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  170. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree.
    In: Papers.
    RePEc:arx:papers:1401.3911.

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  171. Bayesian Nonparametric Calibration and Combination of Predictive Distributions. (2015). Ravazzolo, Francesco ; Casarin, Roberto ; Bassetti, Federico.
    In: Working Papers.
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  172. Forecasting Inflation in Emerging Markets: An Evaluation of Alternative Models. (2015). Mandalinci, Zeyyad.
    In: CReMFi Discussion Papers.
    RePEc:qmm:wpaper:3.

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  173. Quantile forecasts of inflation under model uncertainty. (2015). Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:64341.

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  174. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph.
    In: MPRA Paper.
    RePEc:pra:mprapa:63844.

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  175. Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section. (2015). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele.
    In: Working Papers.
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  176. Quantile forecasts of inflation under model uncertainty. (2015). Korobilis, Dimitris.
    In: Working Papers.
    RePEc:gla:glaewp:2015_09.

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  177. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph.
    In: Working Papers.
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  178. Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors. (2015). Bernardi, Mauro ; Petrella, Lea.
    In: JRFM.
    RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:198-226:d:47812.

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  179. Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models. (2015). Modugno, Michele ; Lenza, Michele ; Giannone, Domenico ; D'Agostino, Antonello.
    In: Finance and Economics Discussion Series.
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  180. Does Realized Volatility Help Bond Yield Density Prediction?. (2015). Shin, Minchul ; Zhong, Molin.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-115.

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  181. Point and density forecasts for the euro area using Bayesian VARs. (2015). Henzel, Steffen ; Berg, Tim.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:4:p:1067-1095.

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  182. Macroeconomic information, structural change, and the prediction of fiscal aggregates. (2015). Theophilopoulou, Angeliki ; mumtaz, haroon ; Carriero, Andrea.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:2:p:325-348.

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  183. The predictive density simulation of the yield curve with a zero lower bound. (2015). Ho, Kyu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:51-66.

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  184. Generalised density forecast combinations. (2015). Price, Simon ; Mitchell, James ; Fawcett, Nicholas ; Kapetanios, G.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:188:y:2015:i:1:p:150-165.

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  185. Quantile forecasts of inflation under model uncertainty. (2015). Korobilis, Dimitris.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:680.

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  186. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:679.

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  187. Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors. (2015). Deschamps, Philippe.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2015020.

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  188. Forecast Accuracy of a BVAR under Alternative Specifications of the Zero Lower Bound. (2015). Berg, Tim.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_203.

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  189. Oil-Price Density Forecasts of U.S. GDP. (2015). Ravazzolo, Francesco ; Rothman, Philip .
    In: Working Papers.
    RePEc:bny:wpaper:0038.

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  190. Optimal Portfolio Choice under Decision-Based Model Combinations. (2015). Ravazzolo, Francesco ; Pettenuzzo, Davide.
    In: Working Papers.
    RePEc:bny:wpaper:0037.

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  191. Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR. (2015). Huber, Florian ; Feldkircher, Martin ; Dovern, Jonas.
    In: Working Papers.
    RePEc:awi:wpaper:0590.

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  192. Quantile forecasts of inflation under model uncertainty. (2015). Korobilis, Dimitris.
    In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon.
    RePEc:ags:aaea07:680.

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  193. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph P.
    In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon.
    RePEc:ags:aaea07:679.

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  194. Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints. (2015). Luoto, Jani ; Lanne, Markku.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-37.

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  195. Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models. (2014). Warne, Anders ; Coenen, Günter ; Christoffel, Kai.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:478.

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  196. Electricity price forecasting: A review of the state-of-the-art with a look into the future. (2014). Weron, Rafał.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1407.

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  197. Probablistic Prediction of the US Great Recession with Historical Expert. (2014). Vahey, Shaun ; Coe, Patrick.
    In: EMF Research Papers.
    RePEc:wrk:wrkemf:06.

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  198. Forecasting Global Equity Indices Using Large Bayesian VARs. (2014). Krisztin, Tamás ; Huber, Florian ; Piribauer, Philipp.
    In: Department of Economics Working Paper Series.
    RePEc:wiw:wus005:4318.

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  199. Forecasting Global Equity Indices using Large Bayesian VARs. (2014). Huber, Florian ; Krisztin, Tamas ; Piribauer, Philipp.
    In: Department of Economics Working Papers.
    RePEc:wiw:wiwwuw:wuwp184.

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  200. A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices. (2014). Casarin, Roberto.
    In: Working Papers.
    RePEc:ven:wpaper:2014:23.

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  201. Bayesian Inference and Forecasting in the Stationary Bilinear Model. (2014). Yang, Fuyu ; Leon-Gonzalez, Roberto.
    In: University of East Anglia Applied and Financial Economics Working Paper Series.
    RePEc:uea:aepppr:2012_55.

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  202. On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14. (2014). van Dijk, Herman ; Ceyhan Darendeli, Sanli ; Çakmaklı, Cem ; and Herman K. van Dijk, ; Basturk, Nalan ; Cakmakli, Cem .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140085.

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  203. Do money and financial variables help forecasting output in emerging European Economies?. (2014). Caraiani, Petre.
    In: Empirical Economics.
    RePEc:spr:empeco:v:46:y:2014:i:2:p:743-763.

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  204. Financial Conditions and Density Forecasts for US Output and Inflation. (2014). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp715.

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  205. Financial Conditions and Density Forecasts for US Output and Inflation. (2014). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: Working Papers.
    RePEc:qmw:qmwecw:715.

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  206. Financial conditions and density forecasts for US output and inflation. (2014). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: CReMFi Discussion Papers.
    RePEc:qmm:wpaper:1.

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  207. On the Sources of Uncertainty in Exchange Rate Predictability. (2014). Ribeiro, Pinho ; Korobilis, Dimitris ; Byrne, Joseph.
    In: MPRA Paper.
    RePEc:pra:mprapa:58956.

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  208. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2014). Martin, Gael ; Forbes, Catherine S. ; Maneesoonthorn, Worapree.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2014-30.

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  209. On the Sources of Uncertainty in Exchange Rate Predictability. (2014). Ribeiro, Pinho ; Korobilis, Dimitris ; Byrne, Joseph.
    In: Working Papers.
    RePEc:gla:glaewp:2014_16.

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  210. A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Paolella, Marc S. ; Krause, Jochen.
    In: Econometrics.
    RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459.

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  211. Generalised Density Forecast Combinations. (2014). Price, Simon ; Mitchell, James ; Fawcett, Nicholas ; Kapetanios, G..
    In: CAMA Working Papers.
    RePEc:een:camaaa:2014-24.

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  212. Electricity price forecasting: A review of the state-of-the-art with a look into the future. (2014). Weron, Rafał.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:4:p:1030-1081.

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  213. Forecasting the intraday market price of money. (2014). Ravazzolo, Francesco ; Monticini, Andrea.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:304-315.

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  214. Beta-product dependent Pitman–Yor processes for Bayesian inference. (2014). Casarin, Roberto ; Leisen, Fabrizio ; Bassetti, Federico.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:1:p:49-72.

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  215. Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture. (2014). Maheu, John ; Jensen, Mark.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:178:y:2014:i:p3:p:523-538.

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  216. On the Sources of Uncertainty in Exchange Rate Predictability. (2014). Ribeiro, Pinho ; Korobilis, Dimitris ; Byrne, Joseph.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:612.

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  217. Forecasting the intraday market price of money. (2014). Monticini, Andrea ; Ravazzolo, Francesco.
    In: DISCE - Working Papers del Dipartimento di Economia e Finanza.
    RePEc:ctc:serie1:def10.

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  218. Forecasting the intraday market price of money. (2014). Ravazzolo, Francesco ; Monticini, Andrea.
    In: DISCE - Working Papers del Dipartimento di Economia e Finanza.
    RePEc:ctc:serie1:def010.

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  219. No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2014). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9848.

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  220. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Valkanov, Rossen .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10160.

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  221. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Gargano, Antonio .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10104.

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  222. Optimal Portfolio Choice under Decision-Based Model Combinations. (2014). Ravazzolo, Francesco ; Pettenuzzo, Davide.
    In: Working Papers.
    RePEc:brd:wpaper:80.

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  223. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics. (2014). Pettenuzzo, Davide ; Timmermann, Allan ; Valkanov, Rossen .
    In: Working Papers.
    RePEc:brd:wpaper:76.

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  224. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio .
    In: Working Papers.
    RePEc:brd:wpaper:75.

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  225. Generalised density forecast combinations. (2014). Price, Simon ; Mitchell, James ; Fawcett, Nicholas ; Kapetanios, George.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0492.

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  226. Financial indicators and density forecasts for US output and inflation. (2014). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_977_14.

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  227. Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors. (2014). Bernardi, Mauro ; Petrella, L..
    In: Papers.
    RePEc:arx:papers:1401.6408.

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  228. On the Sources of Uncertainty in Exchange Rate Predictability. (2014). Korobilis, Dimitris ; Byrne, Joseph P. ; Ribeiro, Pinho J..
    In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon.
    RePEc:ags:aaea07:612.

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  229. Noncausal Bayesian Vector Autoregression. (2014). Luoto, Jani ; Lanne, Markku.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-07.

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  230. Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?. (2013). Henzel, Steffen ; Berg, Tim.
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79783.

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  231. Generalised Density Forecast Combinations. (2013). Price, Simon ; Mitchell, James ; Kapetanios, George ; Fawcett, Nicholas.
    In: EMF Research Papers.
    RePEc:wrk:wrkemf:05.

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  232. Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference. (2013). Casarin, Roberto ; Bassetti, Federico ; Leisen, Fabrizio.
    In: Working Papers.
    RePEc:ven:wpaper:2013:13.

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  233. Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments. (2013). Geweke, John ; Durham, Garland .
    In: Working Paper Series.
    RePEc:uts:ecowps:9.

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  234. Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14. (2013). van Dijk, Herman ; Ceyhan Darendeli, Sanli ; Çakmaklı, Cem ; Cakmakli, Cem ; Basturk, Nalan .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130191.

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  235. Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data. (2013). van Dijk, Herman ; Ceyhan Darendeli, Sanli ; Çakmaklı, Cem ; Cakmakli, Cem ; Basturk, Nalan .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130090.

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  236. Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series. (2013). van Dijk, Herman ; Ceyhan Darendeli, Sanli ; Çakmaklı, Cem ; Cakmakli, Cem ; Basturk, Nalan .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130011.

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  237. Does realized volatility help bond yield density prediction?. (2013). Shin, Minchul ; Zhong, Molin.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:13-064.

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  238. The Influence of the Taylor rule on US monetary policy. (2013). Sveen, Tommy ; Ilbas, Pelin ; Roisland, Oistein.
    In: Working Paper Research.
    RePEc:nbb:reswpp:201301-241.

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  239. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2013). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2013-28.

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  240. Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data. (2013). van Dijk, Herman ; Ceyhan Darendeli, Sanli ; Çakmaklı, Cem ; Baştürk, Nalan ; Cakmakli, Cem ; Basturk, Nalan .
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1321.

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  241. Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data. (2013). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:3:p:442-455.

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  242. Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models. (2013). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; McCabe, Brendan P. M., ; Ng, Jason .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:3:p:411-430.

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  243. Hierarchical shrinkage priors for dynamic regressions with many predictors. (2013). Korobilis, Dimitris.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:1:p:43-59.

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  244. Time-varying combinations of predictive densities using nonlinear filtering. (2013). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:213-232.

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  245. Measuring and predicting heterogeneous recessions. (2013). van Dijk, Dick ; Paap, Richard ; Çakmaklı, Cem.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:11:p:2195-2216.

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  246. Prediction using several macroeconomic models. (2013). Geweke, John ; amisano, gianni.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131537.

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  247. Predictive likelihood comparisons with DSGE and DSGE-VAR models. (2013). Warne, Anders ; Coenen, Günter ; Christoffel, Kai.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131536.

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  248. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility. (2013). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9312.

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  249. Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?. (2013). Henzel, Steffen ; Berg, Tim.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_155.

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  250. Financial conditions and density forecasts for US Output and inflation. (2013). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: Joint Research Papers.
    RePEc:ccb:jrpapr:4.

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  251. The influence of the Taylor rule on US monetary policy. (2013). Sveen, Tommy ; Ilbas, Pelin ; Roisland, Oistein.
    In: Working Paper.
    RePEc:bno:worpap:2013_04.

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  252. Energy and Food Commodity Prices Linkage: An Examination with Mixed-Frequency Data. (2013). Trujillo-Barrera, Andres ; Pennings, Joost ; Pennings, Joost M. E., ; Pennings, Joost M. E., .
    In: 2013 Annual Meeting, August 4-6, 2013, Washington, D.C..
    RePEc:ags:aaea13:150465.

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  253. Combining predictive densities using Bayesian filtering with applications to US economic data. (2012). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Working Papers.
    RePEc:ven:wpaper:2012_16.

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  254. A New Structural Break Model with Application to Canadian Inflation Forecasting. (2012). Song, Yong ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-448.

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  255. Bayesian Semiparametric Dynamic Nelson-Siegel Model. (2012). Çakmaklı, Cem ; Akmakli, Cem .
    In: Working Paper series.
    RePEc:rim:rimwps:59_12.

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  256. Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model. (2012). Song, Yong.
    In: Working Paper series.
    RePEc:rim:rimwps:28_12.

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  257. A New Structural Break Model with Application to Canadian Inflation Forecasting. (2012). Song, Yong ; Maheu, John.
    In: Working Paper series.
    RePEc:rim:rimwps:27_12.

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  258. Identifying Speculative Bubbles with an Infinite Hidden Markov Model. (2012). Song, Yong ; Shi, Shuping.
    In: Working Paper series.
    RePEc:rim:rimwps:26_12.

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  259. Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility. (2012). Karapanagiotidis, Paul.
    In: MPRA Paper.
    RePEc:pra:mprapa:38885.

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  260. A new structural break model with application to Canadian inflation forecasting. (2012). Song, Yong ; Maheu, John.
    In: MPRA Paper.
    RePEc:pra:mprapa:36870.

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  261. Identifying speculative bubbles with an in finite hidden Markov model. (2012). Song, Yong ; Shi, Shuping.
    In: MPRA Paper.
    RePEc:pra:mprapa:36455.

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  262. Constructing Optimal Density Forecasts from Point Forecast Combinations. (2012). Lima, Luiz ; Gaglianone, Wagner ; Luiz Renato Regis de Oliveira Lima, .
    In: Série Textos para Discussão (Working Papers).
    RePEc:ppg:ppgewp:5.

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  263. Measuring and Predicting Heterogeneous Recessions. (2012). van Dijk, Dick ; Paap, Richard ; Çakmaklı, Cem ; Cakmakl, Cem .
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1206.

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  264. Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models. (2012). Deschamps, Philippe.
    In: DQE Working Papers.
    RePEc:fri:dqewps:wp0016.

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  265. Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1227.

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  266. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility. (2012). Ravazzolo, Francesco ; Clark, Todd.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1218.

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  267. Common drifting volatility in large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1206.

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  268. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2012/08.

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  269. Probabilistic forecasts of volatility and its risk premia. (2012). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree ; Grose, Simone D..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:171:y:2012:i:2:p:217-236.

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  270. Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?. (2012). Ardia, David ; Hoogerheide, Lennart F. ; Corre, Nienke .
    In: Economics Letters.
    RePEc:eee:ecolet:v:116:y:2012:i:3:p:322-325.

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  271. The power of weather. (2012). Zhou, Chen ; Ravazzolo, Francesco ; Huurman, Christian .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3793-3807.

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  272. Bayesian estimation of generalized hyperbolic skewed student GARCH models. (2012). Deschamps, Philippe.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3035-3054.

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  273. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8894.

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  274. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility. (2012). Ravazzolo, Francesco ; Clark, Todd.
    In: Working Paper.
    RePEc:bno:worpap:2012_09.

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  275. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data. (2011). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110172.

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  276. Measuring and Predicting Heterogeneous Recessions. (2011). van Dijk, Dick ; Paap, Richard ; Çakmaklı, Cem ; Cakmakli, Cem .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110154.

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  277. Stock Index Returns Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?. (2011). Ardia, David ; Corre, Nienke ; Hoogerheide, Lennart F..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110020.

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  278. Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data. (2011). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110003.

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  279. Hierarchical shrinkage priors for dynamic regressions with many predictors. (2011). Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:30380.

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  280. Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?. (2011). Ardia, David ; Nienke, Corre ; Lennart, Hoogerheide .
    In: MPRA Paper.
    RePEc:pra:mprapa:28259.

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  281. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models. (2011). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; Brendan P. M. McCabe, ; Ng, Jason .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2011-11.

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  282. Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?. (2011). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: Melbourne Institute Working Paper Series.
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  284. A Bayesian evaluation of alternative models of trend inflation. (2011). Doh, Taeyoung ; Clark, Todd.
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  285. Multivariate semi-nonparametric distributions with dynamic conditional correlations. (2011). Perote, Javier ; Ñíguez Grau, Trino ; DEL BRIO, ESTHER.
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  287. Bayesian estimation of an extended local scale stochastic volatility model. (2011). Deschamps, Philippe.
    In: Journal of Econometrics.
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  290. Measuring Core Inflation in Australia with Disaggregate Ensembles. (2010). Ravazzolo, Francesco ; Vahey, Shaun P.
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  291. Combining predictive densities using Bayesian filtering with applications to US economics data. (2010). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
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