No. 908: A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm

Haroon Mumtaz , Queen Mary University of London

July 5, 2020

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Abstract

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.

J.E.L classification codes: C3, C11, E3

Keywords:VAR, Stochastic volatility in mean, error covariance