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Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models
Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this article, we modify the stochastic volatility in mean (SVM) model by introducing state‐of‐t...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley and Sons Inc.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8048439/ https://www.ncbi.nlm.nih.gov/pubmed/33867657 http://dx.doi.org/10.1002/jae.2804 |