Large order-invariant Bayesian VARs with stochastic volatility
Joshua C.C. Chan, Gary Koop, and Xuewen Yu
| Year of publication: |
2024
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| Authors: | Chan, Joshua ; Koop, Gary ; Yu, Xuewen |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 2, p. 825-837
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| Subject: | Large vector autoregression | Order invariance | Shrinkage prior | Stochastic volatility | VAR-Modell | VAR model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Bayes-Statistik | Bayesian inference | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2023.2252039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015053470