This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an …

develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to … quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic …

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 …

provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts …

vast model space of time-varying parameter VARs with stochastic volatility and correlated state transitions. This is …

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …

This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium …