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Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
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Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models

Florian Huber
G. Kastner
Martin Feldkircher
ArXiv (abs)PDFHTML

Papers citing "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models"

4 / 4 papers shown
Title
General Bayesian time-varying parameter VARs for predicting government bond yields
General Bayesian time-varying parameter VARs for predicting government bond yields
M. Fischer
Niko Hauzenberger
Florian Huber
Michael Pfarrhofer
29
0
0
26 Feb 2021
Inference in Bayesian Additive Vector Autoregressive Tree Models
Inference in Bayesian Additive Vector Autoregressive Tree Models
Florian Huber
Luca Rossini
73
23
0
29 Jun 2020
Sparse Bayesian vector autoregressions in huge dimensions
Sparse Bayesian vector autoregressions in huge dimensions
G. Kastner
Florian Huber
76
95
0
11 Apr 2017
Sparse Bayesian time-varying covariance estimation in many dimensions
Sparse Bayesian time-varying covariance estimation in many dimensions
G. Kastner
70
102
0
30 Aug 2016