2 papers
econ.EM2025
Sequential Monte Carlo for Noncausal Processes
Gianluca Cubadda, Francesco Giancaterini, Stefano Grassi
This paper proposes a Sequential Monte Carlo approach for the Bayesian estimation of mixed causal and noncausal models. Unlike previous Bayesian estimation methods developed for th…
econ.EM2022
The Time-Varying Multivariate Autoregressive Index Model
G. Cubadda, S. Grassi, B. Guardabascio
Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data…