most citedLarge Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis

7 citations · 7 across the 1 of their papers we have counts for

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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…