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. …

results for the most recent period suggest that a uniform shock to output volatility in the world economy roughly … question whether the world has become smaller in terms of economic distance. Instead of focussing on the transmission of single …-country interdependence of output volatility has evolved over the period 1955 to 2006. From a methodological perspective, we adopt a spatial …