Items where Author is "Pettenuzzo, D"
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Koop, G and Korobilis, D and Pettenuzzo, D (2019) Bayesian Compressed Vector Autoregressions. Journal of Econometrics, 210 (1). pp. 135-154. DOI https://doi.org/10.1016/j.jeconom.2018.11.009
Korobilis, D and Pettenuzzo, D (2016) Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions. Working Paper. Essex Finance Centre Working Papers, Colchester.