Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
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Publication:2323371
DOI10.1016/j.jeconom.2019.04.024zbMath1452.62890OpenAlexW2938232807MaRDI QIDQ2323371
Andrea Carriero, Todd E. Clark, Massimiliano Marcellino
Publication date: 2 September 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/46523
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
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Uses Software
Cites Work
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