This paper presents a new stochastic volatility model which allows for persistent shifts in volatility of stock market … investigate economic (or market) sources of volatility shifts, without relying on exogenous information from the sample. In … effects of large return shocks on future levels of market volatility. The above properties of the model are shown based on a …

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

Macroeconomic uncertainty—the conditional volatility of the unforecastable component of a future value of a time series …

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …