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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 855
- Classification
-
Wirtschaft
Bayesian Analysis: General
- Subject
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VAR
Stochastic volatility in mean
error covariance
- Event
-
Geistige Schöpfung
- (who)
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Mumtaz, Haroon
- Event
-
Veröffentlichung
- (who)
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Queen Mary University of London, School of Economics and Finance
- (where)
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London
- (when)
-
2018
- Handle
- Last update
-
25.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mumtaz, Haroon
- Queen Mary University of London, School of Economics and Finance
Time of origin
- 2018
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