18 citations · 47 across the 7 of their papers we have counts for
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econ.EM2022★ 11 cited
Comparing Stochastic Volatility Specifications for Large Bayesian VARs
Joshua C. C. Chan
Large Bayesian vector autoregressions with various forms of stochastic volatility have become increasingly popular in empirical macroeconomics. One main difficulty for practitioner…
econ.EM2022★ 7 cited
Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis
Joshua Chan, Eric Eisenstat, Xuewen Yu
Vector autoregressions (VARs) with multivariate stochastic volatility are widely used for structural analysis. Often the structural model identified through economically meaningful…
econ.EM2022★ 2 cited
Large Hybrid Time-Varying Parameter VARs
Joshua C. C. Chan
Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in settings involving a few endogenous variables. Applying these m…