@techreport{4fd55395683046a29d18efb61c0ed3f3,

title = "Bayesian Vector Autoregressions with Stochastic Volatility",

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.",

keywords = "Vector Autoregressions",

author = "H.F.H.V.S. Uhlig",

note = "Pagination: 20",

year = "1996",

language = "English",

volume = "1996-09",

series = "CentER Discussion Paper",

publisher = "Macroeconomics",

type = "WorkingPaper",

institution = "Macroeconomics",

}