Eric Eisenstat

Eisenstat

St Lucia

Brisbane, Queensland 4072

Australia

SCHOLARLY PAPERS

3

DOWNLOADS

35

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

CAMA Working Paper No. 26/2018
Number of pages: 44 Posted: 03 Jun 2018
Joshua Chan, Eric Eisenstat, Chenghan Hou and Gary Koop
University of Technology Sydney (UTS), Eisenstat, Hunan University - Center for Economics, Finance and Management Studies and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 20 (533,460)
Citation 3

Abstract:

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Bayesian, large VAR, composite likelihood, prediction pools, stochastic volatility

2.

Comparing Hybrid Time-Varying Parameter VARs

CAMA Working Paper No. 31/2018
Number of pages: 17 Posted: 03 Jul 2018
Joshua Chan and Eric Eisenstat
University of Technology Sydney (UTS) and Eisenstat
Downloads 10 (595,568)
Citation 2

Abstract:

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state space, marginal likelihood, Bayesian model comparison

3.

Reducing Dimensions in a Large TVP-VAR

CAMA Working Paper No. 49/2018
Number of pages: 45 Posted: 15 Oct 2018
University of Technology Sydney (UTS) - UTS Business School, Eisenstat and University of Queensland - School of Economics
Downloads 5 (628,629)
Citation 1

Abstract:

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Large VAR, time varying parameter, reduced rank covariance matrix