Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with stochastic volatility (TVP-VAR-SV) under shrinkage priors and dynamic shrinkage processes. Details on the TVP-VAR-SV model and the shrinkage priors can be found in Cadonna et al. (2020) , details on the software can be found in Knaus et al. (2021) , while details on the dynamic shrinkage process can be found in Knaus and Frühwirth-Schnatter (2023) .