We propose to exploit stochastic volatility for statistical identification of structural vector autoregressive models (SV-SVAR). We discuss full and partial identification of the model and develop efficient Expectation Maximization algorithms for Maximum Likelihood inference. Simulation evidence...

Forecasts guide decisions in all areas of economics and finance. Economic policy makers base their decisions on business cycle forecasts, investment decisions of firms are based on demand forecasts, and portfolio managers try to outperform the market based on financial market forecasts....