Recent Developments in Bayesian Econometrics and Their Applications.pdf
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Recent Developments in Bayesian Econometrics and Their Applications
This content is a tribute to Sune Karlsson. In conjunction with his 65th birthday, we celebrate his contributions to the field of Bayesian econometrics with this Festschrift. New contributions in his main field of research—that is, time series econometrics—are presented. These consist of both methodological contributions and empirical applications in macroeconomics and finance. Overall, the content consists of 10 chapters written by experts in the field of Bayesian econometrics, each offering advanced research and insights. It would not be right to characterize Sune solely by his academic and scientific
achievements. While successful researchers naturally attract attention, much of Sune’s popularity among colleagues and friends comes from qualities beyond his research. Working with Sune is truly a privilege; he combines competence, humility, friendliness, and efficiency, creating a collaborative nvironment that is both productive and enjoyable. When launching a project like this, one never knows how it will work out in the end. In this case, it turned out to be quite an enjoyable project to manage. We would like to express our sincere thanks to all the authors of the chapters for their contributions and commitment to this Festschrift. We hope this content finds a special place on Sune’s shelf, serving as a testament to his contributions and the lasting impact he has had on the field of Bayesian econometrics

Introduction  1
Stepan Mazur and Pär Österholm
Forecasting with Bayesian Vector Autoregressions Revisited . 7
Jamie L. Cross and Herman K. van Dijk
Large Bayesian Tensor VARs with Stochastic Volatility . 23
Joshua C. C. Chan and Yaling Qi
Measuring Subregional Economic Activity: Missing Frequencies
and Missing Data . 47
Gary Koop, Stuart McIntyre, James Mitchell, Aubrey Poon, and Ping Wu
VAR Models with Fat Tails and Dynamic Asymmetry . 67
Tamás Kiss, Stepan Mazur, Hoang Nguyen, and Pär Österholm
International Transmission of Macroeconomic Uncertainty in
Small Open Economies: An Empirical Approach  89
Jamie L. Cross, Chenghan Hou, and Aubrey Poon
Modeling Local Predictive Ability Using Power-Transformed
Gaussian Processes. 117
Oscar Oelrich and Mattias Villani
Spectral Domain Likelihoods for Bayesian Inference in
Time-Varying Parameter Models  151
Oskar Gustafsson, Mattias Villani, and Robert Kohn
Bayesian Regularization of the Tangency Portfolio  197
Olha Bodnar, Taras Bodnar, and Vilhelm Niklasson
Predictive Decision Synthesis for Portfolios: Betting on Better Models 223
Emily Tallman and Mike West