We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point … vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both … with constant and time-varying autoregressive coefficients), stochastic volatility following a stationary AR process …

This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point … vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both … with constant and time-varying autoregressive coefficients), stochastic volatility following a stationary AR process …

. However, recent sharp changes in macroeconomic volatility such as the Great Moderation and the more recent sharp rise in … volatility associated with greater variation in energy prices and the deep global recession pose significant challenges to …, inflation, and the federal funds rate from VAR models with stochastic volatility. The model of interest extends the steady state …