Large Bayesian VARs with stochastic volatility are increasingly used in empirical macroeconomics. The key to making these highly parameterized useful is the use of shrinkage priors. We develop a family priors that captures best features two prominent classes priors: adaptive hierarchical and Minnesota Like priors, new ensure only ‘small’ coefficients strongly shrunk zero, while ‘large’ remain i...

Nowcasting can play a key role in giving policymakers timelier insight to data published with significant time lag, such as final GDP figures. Currently, there are plethora of methodologies and approaches for practitioners choose from. However, lacks comprehensive comparison these disparate terms predictive performance characteristics. This paper addresses that deficiency by examining the 12 di...

Large Bayesian VARs are now widely used in empirical macroeconomics. One popular shrinkage prior this setting is the natural conjugate as it facilitates posterior simulation and leads to a range of useful analytical results. This is, however, at expense modeling flexibility, rules out cross?variable shrinkage, that shrinking coefficients on lags other variables more aggressively than those own ...

Günümüz finansal piyasalarında faaliyet gösteren yatırımcı türlerinin davranışlarını ve bu davranışların piyasayı ne ölçüde etkileyeceğini anlamak Türkiye gibi gelişmekte olan piyasaların gelişimi istikrarı açısından önem arz eden bir konudur. Bu bağlamda çalışmada, Borsa İstanbul’da yatırım yapan yatırımcıların kimlik tipi (gerçek, tüzel diğer) uyruğu (yerli, yabancı) göz önünde bulundurularak...