Bayesian Modeling for Vector Heterogeneous Autoregressive Model

Changryong Baek, Young Geun Kim
Last updated on Apr 26, 2024 project
Data - ETF VIX R
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. Candidate in Department of Statistics

Researching long-range dependent time series, Bayesian econometrics, and time series deep learning models.