global vector autoregressive models that accounts for time-varying parameters and stochastic volatility (TVP-SV-GVAR). We …

autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary …

noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined …

follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the …

countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate … volatility exists, our approach can be better than the maximum likelihood estimator which neglects stochastic volatility and … particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic …