Mark Bognanni

Federal Reserve Banks - Federal Reserve Bank of Cleveland

Research Economist

East 6th & Superior

Cleveland, OH 44101-1387

United States

SCHOLARLY PAPERS

2

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146

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Scholarly Papers (2)

Estimating (Markov-Switching) VAR Models Without Gibbs Sampling: A Sequential Monte Carlo Approach

FRB of Cleveland Working Paper No. 14-27
Number of pages: 50 Posted: 22 Nov 2014 Last Revised: 10 Jan 2015
Mark Bognanni and Edward Herbst
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Board of Governors of the Federal Reserve System
Downloads 90 (280,941)

Abstract:

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Vector Autoregressions, Sequential Monte Carlo, Regime-Switching Models, Bayesian Analysis

Estimating (Markov-Switching) VAR Models Without Gibbs Sampling: A Sequential Monte Carlo Approach

FEDS Working Paper No. 2015-116
Number of pages: 56 Posted: 22 Dec 2015
Mark Bognanni and Edward Herbst
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Board of Governors of the Federal Reserve System
Downloads 51 (384,089)

Abstract:

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Bayesian Analysis, Regime-Switching Models, Sequential Monte Carlo, Vector Autoregressions

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A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification

FRB of Cleveland Working Paper No. 18-11
Number of pages: 61 Posted: 21 Sep 2018
Mark Bognanni
Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 5 (601,172)

Abstract:

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structural vector autoregressions, time-varying parameters, Gibbs sampling, stochastic volatility, Bayesian inference