time varying parameters and stochastic volatility in which oil supply and global demand shocks are identified. Our results …

, stochastic volatility, and GARCH affect any risk premia in a wide class of DSGE models. To quantify these effects, we then set up … a standard New Keynesian DSGE model where total factor productivity includes rare disasters, stochastic volatility, and … stochastic volatility and GARCH is an increase in the variability of this premium. …

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. …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …