Comparing stochastic volatility specifications for large Bayesian VARs

DOI10.1016/j.jeconom.2022.11.003arXiv2208.13255OpenAlexW4311256445MaRDI QIDQ6108307

Joshua C. C. Chan

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.13255

zbMATH Keywords

stochastic volatilitymarginal likelihoodBayesian model comparisonshrinkage priorlarge vector autoregression

Mathematics Subject Classification ID

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

Related Items

High-dimensional conditionally Gaussian state space models with missing data ⋮ Large stochastic volatility in mean VARs

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