Bayesian Vector Autoregressions with Stochastic Volatility
- 1 January 1997
- journal article
- Published by JSTOR in Econometrica
- Vol. 65 (1) , 59
- https://doi.org/10.2307/2171813
Abstract
This paper proposes a Bayesian approach to a vector autoregression with stochastic volatility, where the multiplicative evolution of the precision matrix is dri...Keywords
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