This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices, called Cholesky generalized autoregressive score (GAS) models, which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are score-driven....

This paper constructs a daily economic uncertainty index to measure the uncertainty about the state of the economy. We use a variety of stock and flow data observed at mixed frequencies to construct the economic uncertainty index (including quarterly, monthly, weekly, and daily indicators),...

This paper attempts to investigate the time-varying causal dynamics between China's money and output by using a Markov switching causality approach. Unlike the pre-specified break points and rolling-window methods, the Markov switching causality approach can capture the time-varying causality...