Bayesian Vector Autoregressions with Stochastic Volatility

H.F.H.V.S. Uhlig

Research output: Working paperDiscussion paperOther research output

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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 languageEnglish
Place of PublicationTilburg
PublisherMacroeconomics
Number of pages20
Volume1996-09
Publication statusPublished - 1996

Publication series

NameCentER Discussion Paper
Volume1996-09

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Bayesian vector autoregression
Stochastic volatility
Nonlinear filtering
Importance sampling
Bayesian approach
Numerical methods
Vector autoregression

Keywords

  • Vector Autoregressions

Cite this

Uhlig, H. F. H. V. S. (1996). Bayesian Vector Autoregressions with Stochastic Volatility. (CentER Discussion Paper; Vol. 1996-09). Tilburg: Macroeconomics.
Uhlig, H.F.H.V.S. / Bayesian Vector Autoregressions with Stochastic Volatility. Tilburg : Macroeconomics, 1996. (CentER Discussion Paper).
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Uhlig, HFHVS 1996 'Bayesian Vector Autoregressions with Stochastic Volatility' CentER Discussion Paper, vol. 1996-09, Macroeconomics, Tilburg.

Bayesian Vector Autoregressions with Stochastic Volatility. / Uhlig, H.F.H.V.S.

Tilburg : Macroeconomics, 1996. (CentER Discussion Paper; Vol. 1996-09).

Research output: Working paperDiscussion paperOther research output

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Uhlig HFHVS. Bayesian Vector Autoregressions with Stochastic Volatility. Tilburg: Macroeconomics. 1996. (CentER Discussion Paper).