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Found 8 papers, 1 papers with code
What drives the European carbon market? Macroeconomic factors and forecasts
We rely on emissions and price forecasts to build market monitoring tools that track demand and price pressure in the EU ETS market.
Money Growth and Inflation: A Quantile Sensitivity Approach
Then, the proposed framework is exploited to examine the distributional effects of money growth on the distributions of inflation and its disaggregate measures in the United States and the Euro area.
Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications
This article proposes a novel Bayesian multivariate quantile regression to forecast the tail behavior of US macro and financial indicators, where the homoskedasticity assumption is relaxed to allow for time-varying volatility.
Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP
Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions.
Sparse time-varying parameter VECMs with an application to modeling electricity prices
In this paper we propose a time-varying parameter (TVP) vector error correction model (VECM) with heteroskedastic disturbances.
Are low frequency macroeconomic variables important for high frequency electricity prices?
Recent research finds that forecasting electricity prices is very relevant.
Inference in Bayesian Additive Vector Autoregressive Tree Models
The resulting Bayesian additive vector autoregressive tree (BAVART) model is capable of capturing arbitrary non-linear relations between the endogenous variables and the covariates without much input from the researcher.
A Pólya-Gamma Sampler for a Generalized Logistic Regression
In this paper we introduce a novel Bayesian data augmentation approach for estimating the parameters of the generalised logistic regression model.
Methodology Computation Other Statistics
