We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …