Arbeitspapier
A generalised stochastic volatility in mean VAR
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori and structural shocks can be identified ex-post by applying standard SVAR techniques. The paper provides a Gibbs algorithm to approximate the posterior distribution and demonstrates the proposed methods by estimating the impact of financial uncertainty shocks on the US economy.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 855
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
- Thema
-
VAR
Stochastic volatility in mean
error covariance
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mumtaz, Haroon
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, School of Economics and Finance
- (wo)
-
London
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mumtaz, Haroon
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2018
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