Sequential Bayesian inference for vector autoregressions with stochastic volatility-Reference-Cited by-同舟云学术

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Sequential Bayesian inference for vector autoregressions with stochastic volatility

Published:2020-04 Issue: Volume:113 Page:103851
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Bognanni Mark,Zito John^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference45 articles.

1. A comparison of programming languages in macroeconomics;Aruoba;J. Econ. Dyn. Control,2015

2. A comparison of programming languages in macroeconomics: an update;Aruoba,2018

3. Dynamic conditional independence models and Markov chain monte carlo methods;Berzuini;J. Am. Stat. Assoc.,1997

4. Julia: A fresh approach to numerical computing;Bezanson;SIAM Rev.,2017

5. A class of time-varying parameter structural vars for inference under exact or set identification;Bognanni,2018

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Sequential Ensemble Monte Carlo Sampler for On-Line Bayesian Inference of Time-Varying Parameter in Engineering Applications;ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B: Mechanical Engineering;2023-03-24

2. Comparing stochastic volatility specifications for large Bayesian VARs;Journal of Econometrics;2022-12

3. Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”;Journal of Econometrics;2021-11

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