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

DOI10.1016/j.jeconom.2021.10.008OpenAlexW3217572975MaRDI QIDQ2116349

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

stochastic volatilityMarkov chain Monte Carlovector autoregressions

Mathematics Subject Classification ID

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

Related Items (3)

Asymmetric conjugate priors for large Bayesian VARs ⋮ Comparing stochastic volatility specifications for large Bayesian VARs ⋮ Corrigendum to ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

Cites Work

• Unnamed Item
• Sequential Bayesian inference for vector autoregressions with stochastic volatility
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Contemporary Bayesian Econometrics and Statistics

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