Bayesian vector-autoregressions with stochastic volatility (1997)

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by Harald Uhlig
Venue:Econometrica
Citations:29 - 1 self

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431 Stochastic volatility: likelihood inference and comparison with ARCH models – S Kim, N Shephard, S Chib - 1998
1176 Bayes Factors – Robert E. Kass, Adrian E. Raftery - 1995
594 Probabilistic Inference Using Markov Chain Monte Carlo Methods – Radford M. Neal - 1993
598 Empirical exchange rate models of the Seventies: do they fit out of sample? – Richard A. Meese, Kenneth Rogoff - 1983
721 Discrete Choice: Methods with Simulation – Kenneth E. Train, Daniel Mcfadden, Kenneth Train Sr - 2002
849 Markov chains for exploring posterior distributions – Luke Tierney - 1994
737 On Sequential Monte Carlo Sampling Methods for Bayesian Filtering – Arnaud Doucet, Simon Godsill, Christophe Andrieu - 2000
566 Filtering via simulation: auxiliary particle filter – M Pitt, N Shephard - 1999
1018 By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." Working Paper no. 4995 – John Y. Campbell, John H. Cochrane - 1995