In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …

algorithm is based on a simple triangularisation which allows to simulate the conditional mean coefficients of the VAR by …

deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The … Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard …