general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …

volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 … percent of the moderation in output volatility …

This paper models the relationship between growth and volatility for G7 economies in the time period 1960-2009. It … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

A factor stochastic volatility model estimates the common component to estimates of the output gap produced by the … staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. Output …. Increased macroeconomic uncertainty, as measured by the common factor's volatility, leads to persistent negative responses in …

(DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991) and stochastic volatility. Models …. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences and stochastic volatility …

of such exercises. - Bayesian VARs ; time-varying parameters ; stochastic volatility ; identified VARs ; Great Inflation …