) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …

restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can … be difficult to find the true volatility model with the selection criteria, using them is recommended because they can … whether time-varying volatility is present but do not discriminate well between different types of volatility changes. The …

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a …