Bayesian Vector Autoregressions with Stochastic Volatility
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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Volume (Year): 65 (1997)
Issue (Month): 1 (January)
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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.:
- Shephard, Neil, 1994. "Local scale models : State space alternative to integrated GARCH processes," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 181-202.
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- 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.
- repec:bla:restud:v:65:y:1998:i:3:p:361-93 is not listed on IDEAS
- Peter C.B. Phillips, 1990.
"To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends,"
Cowles Foundation Discussion Papers
950, Cowles Foundation for Research in Economics, Yale University.
- 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 333-364, Oct.-Dec..
- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November.
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