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Title:Forecasting Government Bond Yields with Large Bayesian VARs Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
Title:Forecasting Exchange Rates with a Large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract: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 ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract: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 ...
Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
Title:Common Drifting Volatility in Large Bayesian VARs Author(s):CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, MassimilianoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/08Abstract:The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common ...
Date:2012Type:Working PaperSeries/Number:EUI ECO; 2012/08Abstract:The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common ...