Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate … particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic …

-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …

is given for the stochastic volatility model with leverage. …

volatility. Necessary restrictions are imposed on the time-varying autoregressive parameters, thus stability conditions are …

conditional standard deviation, realized volatility, realized quantile, and absolute overnight return as innovations in the …. The first step applies a quasi-maximum likelihood estimation procedure, with the realized volatility as a proxy for the … volatility proxy, to estimate the conditional standard deviation parameters. The second step utilizes a quantile regression …

In the framework of structural VAR models with ARCH effect, we show that a sufficient condition for the local …