Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247177 
Authors: 
Year of Publication: 
2020
Series/Report no.: 
Working Paper No. 908
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
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.
Subjects: 
VAR
Stochastic volatility in mean
error covariance
JEL: 
C3
C11
E3
Document Type: 
Working Paper

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