“...We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial...”

“...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 model and predict the term structure of US interest rates in a data-rich and unstable environment. The dynamic Nelson–Siegel factor model is...”

“...In this paper we consider the determinants of regional disparities in unemployment rates for the UK regions at NUTS-II level. We use a mixture panel data model...”

“...This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models...”

“...This paper examines the performance of Bayesian model averaging (BMA) methods in a quantile regression model for inflation. Different predictors are allowed to...”