Large stochastic volatility in mean VARs

DOI10.1016/j.jeconom.2023.05.006OpenAlexW4381059809MaRDI QIDQ6175547

Gary Koop, Aubrey Poon, Chenghan Hou, Unnamed Author

Publication date: 18 August 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.05.006

zbMATH Keywords

uncertaintystate space modelsBayesian VARsmacroeconomic forecastingstochastic volatility in mean

Mathematics Subject Classification ID

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

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