Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Large time-varying parameter VARs

(2013) Gary Koop et al.   JOURNAL OF ECONOMETRICS

A review of copula models for economic time series

(2012) Andrew J. Patton   JOURNAL OF MULTIVARIATE ANALYSIS

Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem

(2010) James G. Scott et al.   ANNALS OF STATISTICS

Copulas and Temporal Dependence

(2010)   ECONOMETRICA

Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules

(2010) Tilmann Gneiting et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility

(2010) Todd E. Clark   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence

(2010) Michael Smith et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function

(2009) Filippo Domma et al.   COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION

Information in the Revision Process of Real-Time Datasets

(2009) Valentina Corradi et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset

(2009) Jon Faust et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Modeling covariance matrices via partial autocorrelations

(2009) M.J. Daniels et al.   JOURNAL OF MULTIVARIATE ANALYSIS

Copula-Based Multivariate Input Models for Stochastic Simulation

(2009) Bahar Biller   OPERATIONS RESEARCH

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

Pair-copula constructions of multiple dependence

(2007) Kjersti Aas et al.   INSURANCE MATHEMATICS & ECONOMICS

Bayesian stochastic search for VAR model restrictions

(2007) Edward I. George et al.   JOURNAL OF ECONOMETRICS