Large stochastic volatility in mean VARs
Jamie L. Cross, Chenghan Hou, Gary Koop, Aubrey Poon
| Year of publication: |
2023
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| Authors: | Cross, Jamie ; Hou, Chenghan ; Koop, Gary ; Poon, Aubrey |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 236.2023, 1, p. 1-24
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| Subject: | Bayesian VARs | Macroeconomic forecasting | Stochastic volatility in mean | State space models | Uncertainty | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Theorie | Theory | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.05.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014332245