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Composite likelihood methods for large Bayesian VARs with stochastic volatility. (2020). Koop, Gary ; Eisenstat, Eric ; Chan, Joshua ; Hou, Chenghan.
In: Journal of Applied Econometrics.
RePEc:wly:japmet:v:35:y:2020:i:6:p:692-711.

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  1. The time-varying Multivariate Autoregressive Index model. (2025). Guardabascio, Barbara ; Cubadda, Gianluca ; Grassi, Stefano.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:41:y:2025:i:1:p:175-190.

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  2. The Time-Varying Multivariate Autoregressive Index Model. (2024). Guardabascio, Barbara ; Cubadda, Gianluca ; Grassi, Stefano.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:571.

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  3. Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

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  4. Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Zheng, Tingguo ; Ye, Shiqi.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689.

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  5. Professional Survey Forecasts and Expectations in DSGE Models. (2023). Wouters, Raf ; Slobodyan, Sergey ; Rychalovska, Yuliya.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp766.

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  6. Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan.
    In: Papers.
    RePEc:arx:papers:2301.13604.

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  7. The Time-Varying Multivariate Autoregressive Index Model. (2022). Guardabascio, Barbara ; Cubadda, Gianluca ; Grassi, S.
    In: Papers.
    RePEc:arx:papers:2201.07069.

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  8. Variational Bayes approximation of factor stochastic volatility models. (2021). Kohn, Robert ; Nott, David ; Gunawan, David.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:4:p:1355-1375.

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  9. AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME‐SERIES ECONOMETRICS. (2021). Nonejad, Nima.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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References

References cited by this document

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