Bayesian Vector Autoregressions with Stochastic Volatility

Harald Uhlig ()

Econometrica, 1997, vol. 65, issue 1, 59-74

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.

Date: 1997
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Working Paper: Bayesian Vector Autoregressions with Stochastic Volatility (1996)
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