Crespo Cuaresma, Jesús; Huber, Florian; Onorante, Luca - 2019
This paper proposes a large-scale Bayesian vector autoregression with factor stochastic volatility to investigate the … assuming that it is the joint volatility process that determines the dynamics of the variance-covariance matrix of the common … equity price volatility, closely tracking other prominent measures commonly adopted to assess uncertainty. The dynamic …