Arbeitspapier
A generalised stochastic volatility in mean VAR: An updated algorithm
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 908
- Classification
-
Wirtschaft
Bayesian Analysis: General
- Subject
-
VAR
Stochastic volatility in mean
error covariance
- Event
-
Geistige Schöpfung
- (who)
-
Mumtaz, Haroon
- Event
-
Veröffentlichung
- (who)
-
Queen Mary University of London, School of Economics and Finance
- (where)
-
London
- (when)
-
2020
- Handle
- Last update
-
10.03.2025, 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
- 2020
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