2 papers
econ.EM2026
Bayesian Dynamic Factor Models for High-Dimensional Matrix-Valued Time Series
Joshua C. C. Chan, Wei Zhang
We introduce a class of Bayesian dynamic factor models for matrix-valued time series, with autoregressive factor dynamics and idiosyncratic components that allow stochastic volatil…
econ.EM2024
Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints
Joshua C. C. Chan, Davide Pettenuzzo, Aubrey Poon +1
Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number o…