Structural compressed panel var with stochastic volatility: a robust bayesian model averaging procedure

HIGHLIGHTS

• who: Antonio Pacifico from the Department of Economics and Law, University of Macerata, Piazza Strambi, Macerata, Italy have published the paper: Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure, in the Journal: Econometrics 2022, 10, 28. of /2022/
• what: This paper improves the existing literature on the shrinkage of high dimensional model and parameter spaces through Bayesian priors and Markov Chains algorithms. hierarchical semiparametric Bayes approach is developed to overtake limits and misspecificity involved in regression models. In this study, potential volatility changes are investigated through the excess kurtosis (κi . . .
  

   

  

  If you want to have access to all the content you need to log in!

  Thanks :)

  Username or Email

  Password

  Remember me

  Lost your password?

  If you don't have an account, you can create one here.