General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields - Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; Pfarrhofer, Michael (Journal of applied econometrics (Chichester, England), 2023)
Keywords: Ambiguity; Autoregressive models; Bayesian analysis; Bayesian shrinkage; Econometrics; interest rate forecasting; latent effect modifiers; MCMC sampling; Parameters; Random walk