This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …

the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. We use the results of this … Volcker's tenure at the Fed, those changes contributed little to the great moderation. Instead, changes in the volatility of … outcomes across these periods is attributed to the time-varying volatility of shocks. The history for inflation is more nuanced …

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 …