Bayesian Approaches to High-Dimensional Long-Range-Dependent Time Series

Changryong Baek, Young Geun Kim
Last updated on Jan 4, 2025 project
Code Dataset
BVHAR estimation

This research project develops Bayesian econometrics model that shares prior with Bayesian VAR (VAR). It aims at extending them to Vector heterogeneous autoregressive (VHAR) model.

Kim, Young Geun, and Changryong Baek. 2024. “Bayesian Vector Heterogeneous Autoregressive Modeling.” Journal of Statistical Computation and Simulation 94 (6): 1139–57. https://doi.org/10.1080/00949655.2023.2281644.

time-series statistics r bayesian-econometrics bayesian-var financial macroeconomics
Young Geun Kim
Young Geun Kim
Ph.D. in Statistics

Ph.D. in Statistics