Adaptive Shrinkage in Bayesian Vector Autoregressive Models

By Florian Huber, Martin Feldkircher. 2019

134 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/19b4456c72d182ab04581122875ee6a239367084

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Gregor Kastner

In Finance

1. Gregor Kastner
2. Florian Huber
3. Martin Feldkircher

Citations in the corpus

• Sparse Bayesian time-varying covariance estimation in many dimensions (2016, methodology): “In particular, it is straightforward to combine it with mean models such as (sparse) vector autoregressions (e.g., Bańbura et al. 2010; Kastner and Huber 2017), dynamic regressions (e.g., Korobilis 2013), or time-varying parameter models (e.g., Koop and Korobilis 2013; Huber et al. 2017).”
• Bayesian forecasting in economics and finance: A modern review (2022, unknown): “(1992), Jacquier et al. (1994), Shephard and Pitt (1997), Kim et al.”