Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative …

rates and stock returns. In terms of in-sample fit, the VAR model featuring both stochastic volatility and t …In this paper, we provide evidence that fat tails and stochastic volatility can be important in improving in-sample fit … and out-of-sample forecasting performance. Specifically, we construct a VAR model where the orthogonalised shocks feature …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …