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Multivariate stochastic volatility with Bayesian dynamic linear models
Multivariate stochastic volatility Bayesian dynamic linear models
2010/12/13
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the v...
RECURSIVE SOLUTION METHODS FOR DYNAMIC LINEAR RATIONAL EXPECTATIONS MODELS
SOLUTION METHODS DYNAMIC LINEAR RATIONAL EXPECTATIONS MODELS
2014/3/18
This paper develops recursive solution methods for linear rational expectations models. The underlying structural model is transformed into a state-space representation, which can...