Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: the Importance of Model Size, Order-Invariance and Classification

Sharada Nia Davidson; Chenghan Hou; Gary Koop

Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: the Importance of Model Size, Order-Invariance and Classification

Sharada Nia Davidson, Chenghan Hou, Gary Koop

Research output: Working paper › Discussion paper

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Original language	English
Place of Publication	Glasgow
Publisher	University of Strathclyde
Number of pages	40
Publication status	Published - 28 Jun 2023

Publication series

Name	Strathclyde Discussion Papers in Economics
Publisher	University of Strathclyde
Volume	23-06

Keywords

large VAR
uncertainty
stochastic volatility
order invariance

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Davidson-etal-SDPE-2023-Investigating-economic-uncertainty-using-stochastic-volatilityFinal published version, 1.53 MBLicence: Strath_1

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year = "2023",

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AU - Hou, Chenghan

AU - Koop, Gary

PY - 2023/6/28

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KW - large VAR

KW - uncertainty

KW - stochastic volatility

KW - order invariance

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T3 - Strathclyde Discussion Papers in Economics

BT - Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs

PB - University of Strathclyde

CY - Glasgow

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Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: the Importance of Model Size, Order-Invariance and Classification

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Keywords

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