Econometrica: Jan 1997, Volume 65, Issue 1
Bayesian Vector Autoregressions with Stochastic Volatility
https://doi.org/0012-9682(199701)65:1<59:BVAWSV>2.0.CO;2-#
p.
59-73
Harald Uhlig
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.Log In To View Full Content