Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility

DOI10.1016/J.ECONLET.2014.03.004zbMath1293.91155OpenAlexW2065762448MaRDI QIDQ397924

Dukpa Kim

Publication date: 12 August 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.03.004

zbMATH Keywords

iteratively reweighted least squaresheteroskedasticitylocal scale

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (1)

Maximum likelihood estimation of a TVP-VAR

Uses Software

• bvarsv

Cites Work

• Local scale models. State space alternative to integraded GARCH processes
• On singular Wishart and singular multivariate beta distributions
• Estimation of the parameters of a regression model with a multivariate t error variable
• Multivariate Stochastic Variance Models
• Bayesian Vector Autoregressions with Stochastic Volatility
• Time Varying Structural Vector Autoregressions and Monetary Policy

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