activity
20222026
most citedVariational inference for large Bayesian vector autoregressions

2 citations · 2 across the 6 of their papers we have counts for

collaborators
Showing 2022Show all

2 papers · 1 filter

econ.EM2022

Flexible variational approximations for stochastic volatility-managed portfolios

Nicolas Bianco, Mauro Bernardi

This paper investigates volatility-managed portfolios through a variational Bayes approach that smooths stochastic volatility forecasts. Our algorithm exhibits competitive performa…

econ.EM2022★ 2 cited

Variational inference for large Bayesian vector autoregressions

Mauro Bernardi, Daniele Bianchi, Nicolas Bianco

We propose a novel variational Bayes approach to estimate high-dimensional vector autoregression (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a co…