This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-<italic>t</italic> distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the <italic>t</italic>-distribution, the TaRB-MH algorithm of Chib and...

Since the financial meltdown of 2007, advanced macroeconomic theory has delved more deeply into the question of the appropriate fiscal policy when the nominal interest rate is close to or at zero percent. Such analysis is typically conducted with the aid of New Keynesian Dynamic Stochastic...

Marcet, and Nicolini (2003) and Milani (2014) demonstrate within the adaptive learning framework that a forecast error-based endogenous gain mechanism that switches between constant gain and decreasing gain may be more effective than the former alone in explaining time-varying parameters. In...

This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations and a jump component in the observation...

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361–393] method...

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...