2 papers
econ.EM2026
A Design Concept of Forecasting Software for Normalized Vector Autoregressions with Fat Tails and Stochastic Volatility
Fei Shang, Xiaolei Wang, Tomasz Woźniak
We present a suite of R packages for macroeconomic forecasting that leverages advanced Bayesian, structural, multivariate, dynamic, hierarchical, non-linear, and non-Gaussian model…
econ.EM2024
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility
Helmut Lütkepohl, Fei Shang, Luis Uzeda +1
We consider structural vector autoregressions that are identified through stochastic volatility under Bayesian estimation. Three contributions emerge from our exercise. First, we s…