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- W1993867213 abstract "We propose a new variational approximation of the joint posterior distribution of the log-volatility in the context of large Bayesian VARs. In contrast to existing approaches that are based on local approximations, the new proposal provides a global approximation that takes into account the entire support of the joint distribution. In a Monte Carlo study we show that the new global approximation is over an order of magnitude more accurate than existing alternatives. We illustrate the proposed methodology with an application of a 96-variable VAR with stochastic volatility to measure global bank network connectedness." @default.
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- W1993867213 date "1993-08-01" @default.
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- W1993867213 title "A critique of recent papers on “Trends, random walks, and break points in macroeconomic time series”" @default.
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- W1993867213 doi "https://doi.org/10.1016/0169-2070(93)90017-h" @default.
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