In this paper we report the results of the estimation of a rich dynamic stochastic general equilibrium (DSGE) model of … the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. We use the results of this … estimation to examine the recent monetary history of the U.S. and to interpret, through this lens, the sources of the rise and …

volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic … volatility, analyse their pricing performance, and their implications for the term structures of VIX futures and options, and the … option volatility "skews". We find that a model combining central tendency and stochastic volatility is required to reliably …

using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate …

This paper compares the role of stochastic volatility versus changes in monetary policy rules in accounting for the … time-varying volatility of U.S. aggregate data. Of special interest to us is understanding the sources of the great … build a medium-scale dynamic stochastic general equilibrium (DSGE) model with both stochastic volatility and parameter …

estimating a business cycle model with investment-specific technological change, preference shocks, and stochastic volatility. …

high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally … prior on a common stochastic volatility factor, we derive the posterior densities for the parameters of the resulting BVAR … with common stochastic volatility (BVAR-CSV). Under the chosen prior the conditional posterior of the VAR coefficients …

volatility of interest rates. For this, we derive a Bayesian prior from a GATSM and use it to estimate the coefficients of a BVAR … for the term structure, specifying a common, multiplicative, time varying volatility for the VAR disturbances. Results …