VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine … transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data … the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …

that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the …

by depositors. The ensuing imperfect information generates a higher volatility of the business cycle. Spillovers from the … agents’ learning is complete. Volatility and second-order moments also display an amplification under the learning setup …

destabilizing spill-over effects between the regions, which can in turn result in a higher macroeconomic volatility. This mechanism …

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …