accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump …

Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate … particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic …