4 citations · 6 across the 2 of their papers we have counts for
3 papers
econ.EM2019★ 2 cited
Estimating Large Mixed-Frequency Bayesian VAR Models
Sebastian Ankargren, Paulina Jonéus
We discuss the issue of estimating large-scale vector autoregressive (VAR) models with stochastic volatility in real-time situations where data are sampled at different frequencies…
econ.EM2019★ 4 cited
A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior
Sebastian Ankargren, Måns Unosson, Yukai Yang
We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prio…
econ.EM2019
Simulation smoothing for nowcasting with large mixed-frequency VARs
Sebastian Ankargren, Paulina Jonéus
There is currently an increasing interest in large vector autoregressive (VAR) models. VARs are popular tools for macroeconomic forecasting and use of larger models has been demons…