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Combining shrinkage and sparsity in conjugate vector autoregressive models. (2021). onorante, luca ; Huber, Florian ; Hauzenberger, Niko.
In: Journal of Applied Econometrics.
RePEc:wly:japmet:v:36:y:2021:i:3:p:304-327.

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  1. Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2025). Rossini, Luca ; Pfarrhofer, Michael ; Hauzenberger, Niko.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:41:y:2025:i:1:p:361-376.

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  2. Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions. (2024). Huber, Florian ; Pruser, Jan.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:39:y:2024:i:2:p:269-291.

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  3. Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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  4. Subspace shrinkage in conjugate Bayesian vector autoregressions. (2023). Koop, Gary ; Huber, Florian.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:38:y:2023:i:4:p:556-576.

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  5. Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Koop, Gary ; Huber, Florian ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Loaiza-Maya, Ruben.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2023-1.

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  6. Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity. (2023). Potjagailo, Galina ; Kohns, David.
    In: Bank of England working papers.
    RePEc:boe:boeewp:1025.

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  7. Bayesian Forecasting in Economics and Finance: A Modern Review. (2023). Maheu, John ; Koop, Gary ; Huber, Florian ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben.
    In: Papers.
    RePEc:arx:papers:2212.03471.

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  8. Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2023). Rossini, Luca ; Pfarrhofer, Michael ; Hauzenberger, Niko.
    In: Papers.
    RePEc:arx:papers:2011.04577.

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  9. Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions. (2021). Koop, Gary ; Huber, Florian.
    In: Papers.
    RePEc:arx:papers:2107.07804.

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