Handbook of Economic Expectations discusses the state-of-the-art in the collection, study
and use of expectations data in economics, including the modelling of expectations …

High dimensional vector autoregressive (VAR) models require a large number of
parameters to be estimated and may suffer of inferential problems. We propose a new …

Vector autoregressive (VAR) models assume linearity between the endogenous variables
and their lags. This assumption might be overly restrictive and could have a deleterious …

We introduce a Bayesian approach to predictive density calibration and combination that
accounts for parameter uncertainty and model set incompleteness through the use of …

The proposed panel Markov‐switching VAR model accommodates changes in low and high
data frequencies and incorporates endogenous time‐varying transition matrices of country …

A new class of dependent random measures which we call compound random measures is
proposed and the use of normalized versions of these random measures as priors in …

This paper introduces several new Bayesian nonparametric models suitable for capturing
the unknown conditional distribution of realized covariance (RCOV) matrices. Existing …

Probabilistic surveys on macroeconomic variables provide a wealth of information to the
applied researcher. Extracting and using this information is not a trivial task, however. This …

This article develops a new Markov-switching vector autoregressive (VAR) model with
stochastic correlation for contagion analysis on financial markets. The correlation and the …

We develop a nonparametric multivariate time series model that remains agnostic on the
precise relationship between a (possibly) large set of macroeconomic time series and their …