Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean

Forecasting government bond yields with large Bayesian vector autoregressions

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 Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR models. The optimal shrinkage is chosen by maximizing the Marginal Likelihood of the model. Focusing o...

Bayesian Vector Autoregressions

This article provides an introduction to the burgeoning academic literature on Bayesian Vector Autoregressions, benchmark models for applied macroeconomic research. We first explain Bayes’ theorem and the derivation of the closed-form solution for the posterior distribution of the parameters of the model given data. We further consider parameter shrinkage, a distinguishing feature of the prior ...

on some bayesian statistical models in actuarial science with emphasis on claim count

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the past hospitalization and its association with suicide attempts and ideation in patients with mdd and comparison with bmd (depressed type) group

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Macroeconomic Modeling with Asymmetric Vector Autoregressions