### 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.

Original language | English |
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Place of Publication | Tilburg |

Publisher | Macroeconomics |

Number of pages | 20 |

Volume | 1996-09 |

Publication status | Published - 1996 |

### Publication series

Name | CentER Discussion Paper |
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Volume | 1996-09 |

### Keywords

- Vector Autoregressions

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## Cite this

Uhlig, H. F. H. V. S. (1996).

*Bayesian Vector Autoregressions with Stochastic Volatility*. (CentER Discussion Paper; Vol. 1996-09). Macroeconomics.