and denote the normal and independent inverse-Wishart distributions. and are the OLS estimates in a time-invariant VAR model obtained from the training sample. is the corresponding estimator of t
This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian met
The general pattern of estimated volatilities of macroeconomic and financial variables is often broadly similar. We propose two models in which conditional volatilities feature comovement and study th