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1. Point and density forecasts for the euro area using Bayesian VARs. (2015). Henzel, Steffen ; Berg, Tim.
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2. The predictive density simulation of the yield curve with a zero lower bound. (2015). Ho, Kyu.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:33:y:2015:i:c:p:51-66.

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3. Forecast Accuracy of a BVAR under Alternative Specifications of the Zero Lower Bound. (2015). Berg, Tim.
   In: ifo Working Paper Series.
   RePEc:ces:ifowps:_203.

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4. Optimal Portfolio Choice under Decision-Based Model Combinations. (2015). Ravazzolo, Francesco ; Pettenuzzo, Davide.
   In: Working Papers.
   RePEc:bny:wpaper:0037.

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5. Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR. (2015). Huber, Florian ; Feldkircher, Martin ; Dovern, Jonas.
   In: Working Papers.
   RePEc:awi:wpaper:0590.

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6. Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture. (2014). Maheu, John ; Jensen, Mark.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:178:y:2014:i:p3:p:523-538.

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7. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Valkanov, Rossen .
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10160.

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8. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Gargano, Antonio .
   In: CEPR Discussion Papers.
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9. Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors. (2014). Bernardi, Mauro ; Petrella, L..
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   RePEc:arx:papers:1401.6408.

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10. Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference. (2013). Casarin, Roberto ; Bassetti, Federico ; Leisen, Fabrizio.
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11. Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments. (2013). Geweke, John ; Durham, Garland .
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12. Does realized volatility help bond yield density prediction?. (2013). Shin, Minchul ; Zhong, Molin.
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13. Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data. (2013). van Dijk, Herman ; Ceyhan Darendeli, Sanli ; Çakmaklı, Cem ; Baştürk, Nalan ; Cakmakli, Cem ; Basturk, Nalan .
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14. Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data. (2013). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:3:p:442-455.

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15. Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models. (2013). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; McCabe, Brendan P. M., ; Ng, Jason .
    In: International Journal of Forecasting.
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16. Hierarchical shrinkage priors for dynamic regressions with many predictors. (2013). Korobilis, Dimitris.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:1:p:43-59.

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17. Time-varying combinations of predictive densities using nonlinear filtering. (2013). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:213-232.

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18. Measuring and predicting heterogeneous recessions. (2013). van Dijk, Dick ; Paap, Richard ; Çakmaklı, Cem.
    In: Journal of Economic Dynamics and Control.
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19. Financial conditions and density forecasts for US Output and inflation. (2013). mumtaz, haroon ; Alessandri, Piergiorgio.
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20. Energy and Food Commodity Prices Linkage: An Examination with Mixed-Frequency Data. (2013). Trujillo-Barrera, Andres ; Pennings, Joost ; Pennings, Joost M. E., ; Pennings, Joost M. E., .
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21. Combining predictive densities using Bayesian filtering with applications to US economic data. (2012). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
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22. A New Structural Break Model with Application to Canadian Inflation Forecasting. (2012). Song, Yong ; Maheu, John.
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23. Bayesian Semiparametric Dynamic Nelson-Siegel Model. (2012). Çakmaklı, Cem ; Akmakli, Cem .
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24. Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model. (2012). Song, Yong.
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25. A New Structural Break Model with Application to Canadian Inflation Forecasting. (2012). Song, Yong ; Maheu, John.
    In: Working Paper series.
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26. Identifying Speculative Bubbles with an Infinite Hidden Markov Model. (2012). Song, Yong ; Shi, Shuping.
    In: Working Paper series.
    RePEc:rim:rimwps:26_12.

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27. Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility. (2012). Karapanagiotidis, Paul.
    In: MPRA Paper.
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28. A new structural break model with application to Canadian inflation forecasting. (2012). Song, Yong ; Maheu, John.
    In: MPRA Paper.
    RePEc:pra:mprapa:36870.

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29. Identifying speculative bubbles with an in finite hidden Markov model. (2012). Song, Yong ; Shi, Shuping.
    In: MPRA Paper.
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30. Constructing Optimal Density Forecasts from Point Forecast Combinations. (2012). Lima, Luiz ; Gaglianone, Wagner ; Luiz Renato Regis de Oliveira Lima, .
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31. Measuring and Predicting Heterogeneous Recessions. (2012). van Dijk, Dick ; Paap, Richard ; Çakmaklı, Cem ; Cakmakl, Cem .
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
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32. Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models. (2012). Deschamps, Philippe.
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33. Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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34. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility. (2012). Ravazzolo, Francesco ; Clark, Todd.
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35. Common drifting volatility in large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers (Old Series).
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36. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2012/08.

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37. Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?. (2012). Ardia, David ; Hoogerheide, Lennart F. ; Corre, Nienke .
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    RePEc:eee:ecolet:v:116:y:2012:i:3:p:322-325.

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38. The power of weather. (2012). Zhou, Chen ; Ravazzolo, Francesco ; Huurman, Christian .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3793-3807.

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39. Bayesian estimation of generalized hyperbolic skewed student GARCH models. (2012). Deschamps, Philippe.
    In: Computational Statistics & Data Analysis.
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40. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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41. Hierarchical shrinkage priors for dynamic regressions with many predictors. (2011). Korobilis, Dimitris.
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42. Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?. (2011). Ardia, David ; Nienke, Corre ; Lennart, Hoogerheide .
    In: MPRA Paper.
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43. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models. (2011). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; Brendan P. M. McCabe, ; Ng, Jason .
    In: Monash Econometrics and Business Statistics Working Papers.
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44. Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?. (2011). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2011n01.

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45. A Bayesian evaluation of alternative models of trend inflation. (2011). Doh, Taeyoung ; Clark, Todd.
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    RePEc:fip:fedkrw:rwp11-16.

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46. A Bayesian evaluation of alternative models of trend inflation. (2011). Doh, Taeyoung ; Clark, Todd.
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47. Multivariate semi-nonparametric distributions with dynamic conditional correlations. (2011). Perote, Javier ; Ñíguez Grau, Trino ; DEL BRIO, ESTHER.
    In: International Journal of Forecasting.
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48. Bayesian estimation of an extended local scale stochastic volatility model. (2011). Deschamps, Philippe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:369-382.

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49. Hierarchical shrinkage priors for dynamic regressions with many predictors. (2011). Korobilis, Dimitris.
    In: CORE Discussion Papers.
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50. Measuring Core Inflation in Australia with Disaggregate Ensembles. (2010). Ravazzolo, Francesco ; Vahey, Shaun P.
    In: RBA Annual Conference Volume.
    RePEc:rba:rbaacv:acv2009-10.

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