The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … component in the consumption equation. The consumption-to-wealth ratio calculated from this model is much less persistent than …

dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …% and at least 78%). The results on the GMV portfolios show that realized covariance models exhibit lower ex-post volatility …

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … Stochastic Volatility (SV)model. However, efficient Monte Carlo simulationmethods for SV models have been developed to overcome …

volatility model for theS&P500. …