“...This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide...”

“...In this paper, we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive models (TVP-VARs). To overcome...”

“...We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that...”

“...This paper proposes a simulation-free estimation algorithm for vector autoregressions (VARs) that allows fast approximate calculation of marginal parameter...”

“...This paper develops methods for estimating and forecasting in Bayesian panel vector autoregressions of large dimensions with time‐varying parameters and...”

“...•We forecast exchange rates using Taylor rules with Time-Varying Parameters (TVPs).•Our approach incorporates the notion of fast-changing economic conditions...”

“...Summary We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety...”

“...Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in these predictors into factors...”

“...This article proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression...”