Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility

By Joshua C. C. Chan, Eric Eisenstat. 2018

193 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b2a0636e25d43ef92ad84c60603a5bd6ae702380

How researchers see this paper

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

In Demography

1. Rodney W. Strachan
2. Joshua C. C. Chan
3. Eric Eisenstat

In Finance

1. Rodney W. Strachan
2. Eric Eisenstat
3. Joshua C. C. Chan
4. Gary Koop

In Management Science and Operations Research

1. Rodney W. Strachan
2. Eric Eisenstat
3. Joshua C. C. Chan

Citations in the corpus

• Reducing the state space dimension in a large TVP-VAR (2020, methodology): “Unlike the factor structure, the approach in this paper preserves the original VAR structure and 1A few papers, such as Carriero, Clark and Marcellino (2016a,b) and Chan (2018), have developed large VARs with stochastic volatility.”