Maximum likelihood estimation of a TVP-VAR

DOI10.1016/J.ECONLET.2018.10.032MaRDI QIDQ2328519zbMATH OpenOpenAlexWikidataFDO

Authors Guilherme V. Moura, Mateus R. Noriller

Publication date 10 October 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://repositorio.ufsc.br/handle/123456789/193435

zbMATH Keywords

maximum likelihood estimationmultivariate stochastic volatilityrandom walkstime-varying parameters VARWishart distribution

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Bayesian Vector Autoregressions with Stochastic Volatility
• Large time-varying parameter VARs
• Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
• On singular Wishart and singular multivariate beta distributions
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Time-varying vector autoregressive models with stochastic volatility

Cited in

(3)

• Reducing the state space dimension in a large TVP-VAR
• Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
• Exact likelihood for inverse gamma stochastic volatility models

Describes a project that uses

Uses Software

• bvarsv

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