### Abstract

Original language | English |
---|---|

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 |

### Fingerprint

### Keywords

- Vector Autoregressions

### Cite this

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

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

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Bayesian Vector Autoregressions with Stochastic Volatility

AU - Uhlig, H.F.H.V.S.

N1 - Pagination: 20

PY - 1996

Y1 - 1996

N2 - 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.

AB - 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.

KW - Vector Autoregressions

M3 - Discussion paper

VL - 1996-09

T3 - CentER Discussion Paper

BT - Bayesian Vector Autoregressions with Stochastic Volatility

PB - Macroeconomics

CY - Tilburg

ER -