A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm
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Haroon Mumtaz: Queen Mary University of London
No 908, Working Papers from Queen Mary University of London, School of Economics and Finance
In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018). The model is re-written so that some of the Metropolis Hastings steps are avoided.
Keywords: VAR; Stochastic volatility in mean; error covariance (search for similar items in EconPapers)
JEL-codes: C11 C3 E3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:908
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