accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

marginal likelihood and deviance information criterion (DIC) for TVP-VARs with stochastic volatility. The proposed estimators … with stochastic volatility compared to a conventional constant coefficients VAR with homoscedastic innovations. Most of the … gains, however, appear to have come from allowing for stochastic volatility rather than time variation in the VAR …

conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …