estimating a business cycle model with investment-specific technological change, preference shocks, and stochastic volatility. …

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally … prior on a common stochastic volatility factor, we derive the posterior densities for the parameters of the resulting BVAR … with common stochastic volatility (BVAR-CSV). Under the chosen prior the conditional posterior of the VAR coefficients …

volatility of interest rates. For this, we derive a Bayesian prior from a GATSM and use it to estimate the coefficients of a BVAR … for the term structure, specifying a common, multiplicative, time varying volatility for the VAR disturbances. Results …

moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility … conditional volatility generate more accurate forecasts than conventional benchmarks. Finally, we find that forecast combination …

accounting for important features of bond return models such as time varying parameters and volatility dynamics. A three …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

reciprocal of volatility. Markets are incomplete, and investors have recursive preferences defined over intermediate consumption … correlation between volatility and stock returns is negative, as typically estimated from stock return data. Our estimates of the … joint process for stock returns and precision (or volatility) using US data confirm this finding. But we also find that …

This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …

This paper compares the role of stochastic volatility versus changes in monetary policy rules in accounting for the … time-varying volatility of U.S. aggregate data. Of special interest to us is understanding the sources of the great … build a medium-scale dynamic stochastic general equilibrium (DSGE) model with both stochastic volatility and parameter …