Nowcasting with large Bayesian vector autoregressions

Priors for the Long Run

(2018) Domenico Giannone et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Common Drifting Volatility in Large Bayesian VARs

(2016) Andrea Carriero et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

A MIDAS approach to modeling first and second moment dynamics

(2016) Davide Pettenuzzo et al.   JOURNAL OF ECONOMETRICS

The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case

(2016) Brian D.O. Anderson et al.   JOURNAL OF ECONOMETRICS

Macroeconomics and the reality of mixed frequency data

(2016) Eric Ghysels   JOURNAL OF ECONOMETRICS

Real-Time Forecasting With a Mixed-Frequency VAR

(2015) Frank Schorfheide et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility

(2015) Andrea Carriero et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY

MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION

(2015) Brian D.O. Anderson et al.   ECONOMETRIC THEORY

The Impact of Uncertainty Shocks

(2009)   ECONOMETRICA

Real-Time Measurement of Business Conditions

(2009) S. Borağan Aruoba et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

A Coincident Index, Common Factors, and Monthly Real GDP*

(2009) Roberto S. Mariano et al.   OXFORD BULLETIN OF ECONOMICS AND STATISTICS

Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?

(2008) Christine De Mol et al.   JOURNAL OF ECONOMETRICS