23 citations · 38 across the 18 of their papers we have counts for
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econ.GN2016
Bayesian nonparametric sparse VAR models
Monica Billio, Roberto Casarin, Luca Rossini
High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparame…
math.ST2016★ 4 cited
Bayesian Dynamic Quantile Model Averaging
Mauro Bernardi, Roberto Casarin, Bertrand Maillet +1
This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we…