Bayesian inference, on-line forecasting and model choice for large VAR models with Cholesky stochastic volatility

Nicolas Chopin, Andras Fulop, Yuedan Huo +1

We consider $K$-dimensional Bayesian vector autoregressions (BVARs) with Cholesky stochastic volatility (SV), in which the innovation covariance matrix is a lower-triangular linear…