Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - Økonomisk Institut, Københavns Universitet - 2008
Many key macro-economic and ?nancial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...