86 citations · 156 across the 36 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
stat.ME2017★ 6 cited
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
Martin Feldkircher, Luis Gruber, Florian Huber +1
We assess the relationship between model size and complexity in the time-varying parameter VAR framework via thorough predictive exercises for the Euro Area, the United Kingdom and…
stat.CO2017★ 86 cited
Sparse Bayesian vector autoregressions in huge dimensions
Gregor Kastner, Florian Huber
We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are in…