A generalised stochastic volatility in mean VAR: An updated algorithm

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018). The model is re-written so that some of the Metropolis Hastings steps are avoided.

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Year of publication:	2020
Authors:	Mumtaz, Haroon
Publisher:	London : Queen Mary University of London, School of Economics and Finance
Subject:	VAR \| Stochastic volatility in mean \| error covariance

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Series:	Working Paper ; 908
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1724807595 [GVK] hdl:10419/247177 [Handle] RePEc:qmw:qmwecw:908 [RePEc]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C11 - Bayesian Analysis ; E3 - Prices, Business Fluctuations, and Cycles
Source:	EconStor

Persistent link: https://www.econbiz.de/10012670871