This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Bayesian Vector Autoregressions with Stochastic Volatility

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Harald Uhlig

Additional information is available for the following registered author(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.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 65 (1997)
Issue (Month): 1 (January)
Pages: 59-74
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ecm:emetrp:v:65:y:1997:i:1:p:59-74

Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Email:
Web page: http://www.econometricsociety.org/
More information through EDIRC

Order Information:
Email:
Web: http://www.blackwellpublishing.com/memb.asp?ref=0012-9682

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November. [Downloadable!] (restricted)
  2. Uhlig, Harald, 1994. "What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 645-671, August. [Downloadable!]
  3. Sims, Christopher A & Uhlig, Harald, 1991. "Understanding Unit Rooters: A Helicopter Tour," Econometrica, Econometric Society, vol. 59(6), pages 1591-99, November. [Downloadable!] (restricted)
    Other versions:
  4. Thomas Doan & Robert Litterman & Christopher Sims, 1984. "Forecasting and conditional projection using realistic prior distributions," Econometric Reviews, Taylor and Francis Journals, vol. 3(1), pages 1-100. [Downloadable!] (restricted)
    Other versions:
  5. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
  6. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis. [Downloadable!]
  7. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-64, Oct.-Dec.. [Downloadable!] (restricted)
    Other versions:
  8. repec:cup:etheor:v:10:y:1994:i:3-4:p:645-71 is not listed on IDEAS
  9. Shephard, Neil, 1994. "Local scale models : State space alternative to integrated GARCH processes," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 181-202. [Downloadable!] (restricted)
  10. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-89, October.
    Other versions:
  11. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," NBER Technical Working Papers 0321, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  3. Alexander Kriwoluzky, 2009. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers ECO2009/29, European University Institute. [Downloadable!]
    Other versions:
  4. Abel Rodriguez & Enrique ter Horst, 2008. "Measuring expectations in options markets: An application to the SP500 index," Quantitative Finance Papers 0901.0033, arXiv.org. [Downloadable!]
  5. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Quantitative Finance Papers 0802.0214, arXiv.org. [Downloadable!]
  6. Marcelo Sánchez, 2008. "Oil shocks and endogenous markups - results from an estimated euro area DSGE model," Working Paper Series 860, European Central Bank. [Downloadable!]
  7. Juan Francisco Rubio-Ramírez & Daniel Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," Working Paper 2005-27, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  8. Marek Jarociński, 2008. "Responses to monetary policy shocks in the east and the west of Europe - a comparison," Working Paper Series 970, European Central Bank. [Downloadable!]
    Other versions:
  9. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  10. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta. [Downloadable!]
  11. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2008. "Minimal state variable solutions to Markov-switching rational expectations models," Working Paper 2008-23, Federal Reserve Bank of Atlanta. [Downloadable!]
  12. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility using state space models," Quantitative Finance Papers 0802.0223, arXiv.org. [Downloadable!]
  13. Mark E. Glickman, 2001. "Dynamic paired comparison models with stochastic variances," Journal of Applied Statistics, Taylor and Francis Journals, vol. 28(6), pages 673-689, August. [Downloadable!] (restricted)
  14. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, friction, or monetary policy?," Working Paper Series 2009-01, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  15. Daniel F. Waggoner & Tao Zha, 2000. "A Gibbs simulator for restricted VAR models," Working Paper 2000-3, Federal Reserve Bank of Atlanta. [Downloadable!]
  16. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007. "Oil supply news in a VAR: Information from financial markets," Temi di discussione (Economic working papers) 632, Bank of Italy, Economic Research Department. [Downloadable!]
  17. Jesús Fernández-Villaverde & Juan F Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," Levine's Bibliography 843644000000000057, UCLA Department of Economics. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? It is the publishers that input data about their publications, as there is no staff at RePEc.

This page was last updated on 2009-11-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.