Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo; … - In: Journal of Econometrics 185 (2015) 1, pp. 216-229
and Bayesian methods to estimate a business cycle model of the US economy with both stochastic volatility and parameter … drifting in monetary policy. Our application shows the importance of stochastic volatility in accounting for the dynamics of …