volatility and a drift in asset return. Volatility-based proxies for information flows are proposed to examine empirically the … futures, information diffusion and volatility components. An important implication of our study is that the slow diffusion of …

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …