In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar … disaggregated only up to 10 sectors. Blanchard and Simon (2001) come to the same result. Using a new estimation method and more … this in order to get, for each observation period, an estimation of the covariance matrix of the sectoral growth rates …

marginal likelihood and deviance information criterion (DIC) for TVP-VARs with stochastic volatility. The proposed estimators … with stochastic volatility compared to a conventional constant coefficients VAR with homoscedastic innovations. Most of the … gains, however, appear to have come from allowing for stochastic volatility rather than time variation in the VAR …

makes estimation of large-scale DSGE models computationally feasible. We use our algorithm to estimate the US equity risk … historical stochastic volatility and equity risk premium series display pronounced countercyclical fluctuations …We develop a Bayesian Markov chain Monte Carlo algorithm for estimating risk premia in dynamic stochastic general …

volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …

increases, so does the risk that a restrictive forward guidance shock will increase rather than decrease stock prices. This …

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

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 …

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 …

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. …

Cholesky multivariate stochastic volatility model. It establishes that estimated covariance matrices, obtained under … alternative orderings of variables, are systemically different when the data exhibits independent volatility dynamics … individual volatility paths becomes. This paper shows that this property is important for empirical applications as alternative …