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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…