volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

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 … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a … particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions … prior ensures that the evidence for identifying a structural shock comes only from the data and is not favoured by the prior …