Waltham, MA 02454-9110
United States
Brandeis University - Department of Economics
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bond returns, yield curve, macro factors, stochastic volatility, time-varying parameters, unspanned macro risk factors
Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability
multivariate time series, random projection, forecasting
structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging
Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging
MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth
Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility
Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting
High-frequency cash flow news; predictability of dividend growth; jump risk; dynamics in stock returns; uncertainty transmission channel; Bayesian modeling
present value, stock prices, structural breaks, Bayesian learning
Bayesian econometrics, Time-varying parameters, Model combinations, Portfolio choice
Equity premium, Predictive regressions, Predictor constraints, 12-month high, Model combinations
entropic tilting, density forecasts, variance risk premium, equity premium, options
Time-varying parameters, regime switching, change point models, stochastic volatility, GDP growth forecasts, inflation forecasts
GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters
Optimal Asset Allocation, Bayesian Econometrics, Dynamic Linear Models
Bayesian estimation, bond returns, model uncertainty, stochastic volatility, time-varying parameters
