Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility

DOI10.1016/J.ECONLET.2014.03.004MaRDI QIDQ397924zbMATH OpenOpenAlexFDO

Authors Dukpa Kim

Publication date 12 August 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.03.004

zbMATH Keywords

heteroskedasticityiteratively reweighted least squareslocal scale

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• Bayesian Vector Autoregressions with Stochastic Volatility
• Estimation of the parameters of a regression model with a multivariate t error variable
• Local scale models. State space alternative to integraded GARCH processes
• Multivariate Stochastic Variance Models
• On singular Wishart and singular multivariate beta distributions
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(5)

• Maximum likelihood estimation of a TVP-VAR
• scientific article; zbMATH DE number 1446115 (Why is no real title available?)
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
• Exact likelihood for inverse gamma stochastic volatility models

Describes a project that uses

Uses Software

• bvarsv

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