This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with … feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t …-distribution with a time-varying variance. We find that in terms of in-sample fit, the VAR model that features both stochastic …

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized …

the state financial markets are in when they occur. Using monthly US data, we estimate a nonlinear VAR where economic … uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …

increased globalisation and trade openness may be the driving force behind the increased cross-country correlation in volatility. …We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …

deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The … Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard …

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …

time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is …