A generalised stochastic volatility in mean VAR

Mumtaz Haroon

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A generalised stochastic volatility in mean VAR

机译：平均VAR中的广义随机波动率

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摘要

This note introduces a VAR with stochastic volatility in mean where the shocks of the volatility equations and the observation equations are allowed to be correlated. We provide a Gibbs algorithm to approximate the posterior distribution and demonstrate the proposed methods by estimating the impact of financial uncertainty shocks on the US economy. (C) 2018 Elsevier B.V. All rights reserved.

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来源
《Economics letters》 |2018年第12期|10-14|共5页
作者
Mumtaz Haroon;
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作者单位

Queen Mary Coll, London, England;

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原文格式 PDF
正文语种 eng
中图分类
关键词
VAR; Stochastic volatility in mean; Error covariance;

机译：VAR;均值随机波动;误差协方差;

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1. On generalised asymmetric stochastic volatility models [J] . Tsiotas G. Computational statistics & data analysis . 2012,第1期

机译：关于广义非对称随机波动率模型
2. On asymmetric generalised t stochastic volatility models [J] . Joanna J.J. Wang Mathematics and computers in simulation . 2012,第11期

机译：关于非对称广义t随机波动率模型
3. Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching [J] . Lin Sha, He Xin-Jiang Physica, A. Statistical mechanics and its applications . 2020,第期

机译：定价方差和波动率随随机性波动，随机利率和制度切换而递送
4. Stochastic Volatility Analysis using the Generalised Kolmogorov-Feller Equation [C] . Jonathan Blackledge, Marc Lamphiere, Kieran Murphy, World Congress on Engineering . 2012

机译：随机波动性分析，使用广义kolmogorov-feller方程
5. Three essays in multivariate stochastic volatility: Multivariate stochastic volatility via Wishart random walks. Efficient frontier bounds under stochastic covariances. High dimensional factor multivariate stochastic volatility via Wishart random walks [D] . Philipov, Alexander. 2003

机译：多变量随机波动的三篇论文：通过Wishart随机散步多变量随机波动性。随机考律下的高效前沿界限。通过Wishart随机行走的高尺寸因子多变量随机波动率
6. Multivariate stochastic volatility modeling of neural data [O] . Tung D Phan, Jessica A Wachter, Ethan A Solomon, -1

机译：神经数据的多元随机波动率建模
7. A generalised stochastic volatility in mean VAR [O] . Haroon Mumtaz 2018

机译：平均值的广义随机挥发性

A generalised stochastic volatility in mean VAR

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