This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE …

volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 … percent of the moderation in output volatility …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …