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Bayesian Vector Autoregressions with Stochastic Volatility

Uhlig,H.F.H.V.S.
Abstract
This paper proposes a Bayesian approach to a vector autoregression with stochastic volatility, where the multiplicative evolution of the precision matrix is driven by a multivariate beta variate.Exact updating formulas are given to the nonlinear filtering of the precision matrix.Estimation of the autoregressive parameters requires numerical methods: an importance-sampling based approach is explained here.
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Pagination: 20
Date
1996
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Volume Title
Publisher
Macroeconomics
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Tilburg University Research Output Collection
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Keywords
Vector Autoregressions
Citation
Uhlig, H F H V S 1996 'Bayesian Vector Autoregressions with Stochastic Volatility' CentER Discussion Paper, vol. 1996-09, Macroeconomics, Tilburg.
URI
https://hdl.handle.net/20.500.14602/26299
License
info:eu-repo/semantics/restrictedAccess
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