Large stochastic volatility in mean VARs

DOI10.1016/J.JECONOM.2023.05.006MaRDI QIDQ6175547zbMATH OpenOpenAlexFDO

Authors Chenghan Hou, Gary Koop, Aubrey Poon

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

Bayesian VARsmacroeconomic forecastingstate space modelsstochastic volatility in meanuncertainty

Mathematics Subject Classification ID

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

Cites work

• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• Asymmetric conjugate priors for large Bayesian VARs
• Comparing stochastic volatility specifications for large Bayesian VARs
• Efficient simulation and integrated likelihood estimation in state space models
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Likelihood analysis of non-Gaussian measurement time series
• Monetary policy uncertainty and economic fluctuations
• Particle Gibbs with ancestor sampling
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Tailored randomized block MCMC methods with application to DSGE models
• The HESSIAN method: highly efficient simulation smoothing, in a nutshell
• The Impact of Uncertainty Shocks

Cited in

(4)

• A generalised stochastic volatility in mean VAR
• Efficient Importance Variational Approximations for State Space Models
• Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification
• Uncertainty unpacked: state-level housing market dynamics in the face of shocks

This page was built for publication: Large stochastic volatility in mean VARs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6175547)