Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012
The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally … prior on a common stochastic volatility factor, we derive the posterior densities for the parameters of the resulting BVAR … with common stochastic volatility (BVAR-CSV). Under the chosen prior the conditional posterior of the VAR coefficients …