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 …

-varying parameter vector autoregression with stochastic volatility developed by Cogley and Sargent (2005) and Primiceri (2005), CSP …

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

exchange rate and asset return series, and is compared with t-GARCH and Lognormal stochastic volatility formulations using …

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …

We are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non …-parametric power-variation approach using high-frequency returns, and the parametric Bayesian approach (MCMC estimation of SVJD models …) using daily returns. We find that both of the methods do identify continuous stochastic volatility similarly, but they do …

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non … immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains …

daily stock index returns throughout the period 2004-2008. Our estimation results confirm that the persistency in volatility … wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the …

This paper extends the FIGARCH long-memory volatility model to a multivariate framework. The proposed quasi maximum … satisfactorily. A trivariate specification is applied for modelling jointly the daily volatility of foreign exchange rates of the …