Econometrica Vol. 65 No. 1 1997
Bayesian Vector Autoregressions with Stochastic Volatility
Abstract
This paper proposes a Bayesian approach t o a v ector autoregression with stochastic volatility, where the multiplicative e v olution of the precision matrix is driven by a m ultivariate beta variate.Exact updating formulas are given to the nonlinear ltering of the precision matrix.Estimation of the autoregressive parameters requires numerical methods: an importance-sampling based approach is explained here.i
- DOI
- 10.2307/2171813
- Volume
- 65
- Issue
- 1
- Pages
- 59
- Sources
- bibtex:phds-export.bib crossref openalex