A multi‐move sampler for estimating non‐Gaussian time series models: Comments on Shephard & Pitt (1997)

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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy (2011, unknown): “developed by Shephard and Pitt (1997) and Watanabe and Omori (2004) .”
On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility (2014, unknown): “To sample �ℎ𝑖,𝑠+1, … , ℎ𝑖,𝑛�, the multi-move sampler is used (Shephard and Pitt (1997) and Watanabe and Omori (2004).”
The structure of dynamic correlations in multivariate stochastic volatility models (2009, methodology): “In order to generate h from its full conditional distribution, we use the multi-move sampler proposed by Shephard and Pitt (1997, 2004) and Watanabe and Omori (2004). Consider the conditional posterior distribution of ( ) 1 , , , s s k η η η + − ′ ′ ′ = K given”
Multivariate stochastic volatility (2009, background): “Yu and Meyer (2006) compared several bivariate basic models (without leverage effects) including those in which ht follows a VAR(1) process with φ12 = 0 to allow Granger causality from one asset to another.”