) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MFTVP …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …