This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …

This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … to estimate Growth at Risk as introduced in Adrian et al. (2019) seminal paper "Vulnerable Growth". In contrary to their …, I modify the Tempered Particle Filter of Herbst and Schorheide (2019) to account for stochastic volatility and …

develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to … quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic …

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … started at least 4 years earlier. We confirm the validity and universality of the volatility-confined LPPL model on seven …