Browsing by Subject "Bayesian VAR"

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Browsing by Subject "Bayesian VAR"

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    Title: Forecasting Exchange Rates with a Large Bayesian VAR  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...