Bayesian Vector Autoregressions with Stochastic Volatility (Q4339081)
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scientific article; zbMATH DE number 1016979
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian Vector Autoregressions with Stochastic Volatility |
scientific article; zbMATH DE number 1016979 |
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Bayesian Vector Autoregressions with Stochastic Volatility (English)
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23 September 1997
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exact updating formulas
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conjugacy
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multivariate beta distribution
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vector autoregression
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stochastic volatility
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nonlinear filtering
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precision matrix
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importance-sampling based approach
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