vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model … Bayesian techniques for estimation, and introduce a set of hierarchical global-local shrinkage priors. The adopted priors …

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model … clearly outperforms the others in terms of a superior fit to data. Using this model and our estimation methodology we obtain …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …