Daichi Hiraki
2 papers · Latest:
Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
This paper introduces a Dynamic Factor Stochastic Volatility-in-Mean VAR model, improving macroeconomic forecasting, especially during crises.
2604.04529
Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models
A unified mixture sampler (UMS) offers a universal, efficient framework for nonlinear state-space models, outperforming conventional methods.
2604.04517
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