A Bayesian time-varying parameter model with Markov switching and dynamic shrinkage is applied to economic exchange-rate models, reporting out-of-sample predictive gains over a random walk with stochastic volatility.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
econ.EM 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage
A Bayesian time-varying parameter model with Markov switching and dynamic shrinkage is applied to economic exchange-rate models, reporting out-of-sample predictive gains over a random walk with stochastic volatility.