@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",
}