Publications
Publications
Martina Danielova Zaharieva, Audronė Virbickaitė & Andrè Portela Santos (2025) Volatility Transmission in Global Energy Markets: A Bayesian Nonparametric Approach, Journal of Commodity Markets, DOI: https://doi.org/10.1016/j.jcomm.2025.100496 [Working paper]
Audronė Virbickaitė, Hedibert F. Lopes & Martina Danielova Zaharieva (2024) Multivariate dynamic mixed frequency density pooling for financial forecasting, International Journal of Forecasting, DOI: https://doi.org/10.1016/j.ijforecast.2024.11.011
Andrea A. Naghi, Eoghan O'Neill & Martina Danielova Zaharieva (2024) The Benefits of Forecasting Inflation with Machine Learning: New Evidence, Journal of Applied Econometrics, DOI: https://doi.org/10.1002/jae.3088
Martina Danielova Zaharieva, Mark Trede & Bernd Wilfling (2020) Bayesian semiparametric multivariate stochastic volatility with application, Econometric Reviews, 39:9, 947-970, DOI: 10.1080/07474938.2020.1761152
Semiparametric Bayesian Forecasting for Copula Stochastic Volatility Model (with A. Virbickaitė and F. Gößling)
Bayesian Bernstein copula for uncorrelated dependent MGARCH errors (with M.C. Ausín )
Infinite sparse factor stochastic volatility model
Multi-Country Yield Curve Modeling using No-Arbitrage Gaussian Dynamic Term Structure Models (with M. van der Wel)
Variable Ordering in a Cholesky-Multivariate Stochastic Volatility model (with Ping Wu)