Bayesian vector-autoregressions with stochastic volatility (1997)

Cached

Download Links

by Harald Uhlig
Venue:Econometrica
Citations:24 - 0 self

Documents Related by Co-Citation

371 Bayesian Analysis of Stochastic Volatility Models – Eric Jacquier, Nicholas G. Polson, Peter E. Rossi - 1994
354 Stochastic Volatility: Likelihood Inference And Comparison With Arch Models – Sangjoon Kim, Neil Shephard - 1994
330 On Gibbs Sampling for State Space Models – C K Carter, R Kohn - 1994
214 Multivariate Stochastic Variance Models – A C Harvey, E Ruiz, N Shephard - 1994
519 Filtering Via Simulation: Auxiliary Particle Filters – Michael K. Pitt, Neil Shephard - 1997
18 An analysis of international exchange rates using multivariate DLM’s – J M Quintana, M West - 1987
167 Likelihood analysis of non-Gaussian measurement time series – N, M Pitt - 1997
122 Data augmentation and dynamic linear models – Sylvia Frühwirth-Schnatter - 1994
19 On Singular Wishart and Singular Multivariate Beta Distributions – H Uhlig - 1994
168 Time Varying Structural Vector Autoregressions and Monetary Policy – Giorgio E Primiceri - 2005
178 Measuring Monetary Policy,” Quarterly – B Bernanke, I Mihov - 1998
193 Statistical aspects of ARCH and stochastic volatility – N Shephard - 1996
2283 Estimating the dimension of a model – G Schwarz - 1978
11 Local scale models: State space alternatives to integrated GARCH processes – N Shephard - 1994
3 The evolution of bayesian forecasting models. In Asset Allocation: Applying Quantitative Discipline to Asset Allocation – B H Putnam, J M Quintana - 1995
14 Optimal portfolios and forward currency contracts,” in Bayesian Statistics – J M Quintana - 1992
12 New Bayesian statistical approaches to estimating and evaluating models of exchange rates determination – B H Putnum, J M Quintana - 1994
68 2000, “Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach – Soyoung Kim, N Roubini
83 Partial Non-Gaussian State Space – N Shephard - 1994