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Title:Common Drifting Volatility in Large Bayesian VARs Author(s):CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, Massimiliano
Date:2012Type:Working PaperSeries/Number:EUI ECO; 2012/08Abstract:The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common ...
Date:2012Type:Working PaperSeries/Number:EUI ECO; 2012/08Abstract:The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common ...