Comment on ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

DOI10.1016/J.JECONOM.2021.10.008MaRDI QIDQ2116349zbMATH OpenOpenAlexFDO

Authors Mark Bognanni

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.10.008

zbMATH Keywords

Markov chain Monte Carlostochastic volatilityvector autoregressions

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Contemporary Bayesian Econometrics and Statistics
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Sequential Bayesian inference for vector autoregressions with stochastic volatility

Cited in

(4)

• Corrigendum to ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Asymmetric conjugate priors for large Bayesian VARs
• Comparing stochastic volatility specifications for large Bayesian VARs
• Variational Inference for Large Bayesian Vector Autoregressions

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