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In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …
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This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …
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vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …
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