We extend the canonical income process with persistent and transitory risk to shock distributions with left … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

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 …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …

innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future …

idiosyncratic shocks. Even when prices are flexible and inflation can costlessly act as a shock absorber to restore fiscal … economy, the introduction of sticky prices can reduce the optimal volatility of taxes. …