components, and innovations to trend and gap inflation are affected by stochastic volatility. A novelty of our model is to allow …

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …

equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that … makes estimation of large-scale DSGE models computationally feasible. We use our algorithm to estimate the US equity risk … premium in a DSGE model that includes time-preference, technology, investment, and volatility shocks. Time-preference and …

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 …

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …

volatility model, for which we detail an efficient estimation strategy based on Gaussian mixture sampling and a linearization of …We study the link between the volatility of exchange rates and interest rate differentials (IRD), motivated by the … the volatility process. We apply this approach to six currency pairs over the period from January 1999 to December 2017 …

for stochastic volatility both at the regional and country specific level. Despite the share of national variance …

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …