Common Drifting Volatility in Large Bayesian VARs

DOI10.1080/07350015.2015.1040116MaRDI QIDQ6667089zbMATH OpenFDO

Authors Andrea Carriero, Todd E. Clark, Massimiliano Marcellino

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2015.1040116

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited in

(9)

• Multivariate stochastic volatility with co-heteroscedasticity
• Exact likelihood for inverse gamma stochastic volatility models
• Sectoral Uncertainty: A Hierarchical-Volatility Approach
• Large Bayesian matrix autoregressions
• Bayesian model comparison for large Bayesian VARs after the COVID-19 pandemic
• Partial identification of structural vector autoregressions with non-centred stochastic volatility
• Singular vector autoregressions
• Theory Coherent Shrinkage of Time-Varying Parameters in VARs
• Fast, Order-Invariant Bayesian Inference in VARs Using the Eigendecomposition of the Error Covariance Matrix

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