Comparing stochastic volatility specifications for large Bayesian VARs
Joshua C.C. Chan
| Year of publication: |
2023
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|---|---|
| Authors: | Chan, Joshua |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 1419-1446
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| Subject: | Bayesian model comparison | Large vector autoregression | Marginal likelihood | Shrinkage prior | Stochastic volatility | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2022.11.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471398