of such exercises. - Bayesian VARs ; time-varying parameters ; stochastic volatility ; identified VARs ; Great Inflation …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

Most of the empirical applications of the stochatic volatility (SV) model are based on the assumption that the … conditional distribution of returns given the latent volatility process is normal. In this paper the SV model based on a … choice of the conditional distribution has systematic effects on the parameter estimates of the volatility process. …