stable, driven by stochastic volatility (SV), or follow a novel nonparametric specification. Estimation is carried out using …

Adding multivariate stochastic volatility of a flexible form to large Vector Autoregressions (VARs) involving over a … literature either works with homoskedastic models or smaller models with restrictive forms for the stochastic volatility. In this … paper, we develop composite likelihood methods for large VARs with multivariate stochastic volatility. These involve …