The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for …

suggested by the 'financial accelerator' theory. Multivariate Markov-switching models that allow for phase shifts between the …

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury … corporate bond-yield spread decreases the risk free rate. Finally, we note that while allowing for heavy tails receives a fair …

sign restrictions with information on the volatility of the data, giving less prior mass to impulse effects that are …

time series process. Model estimation proceeds by data augmentation. We derive the basic forward-filtering backward-smoothing/sampling …