This paper generalizes the popular stochastic volatility in mean model of Koopman and Hol Uspensky (2002) to allow for time-varying parameters in the conditional mean. The estimation of this extension is nontrival since the volatility appears in both the conditional mean and the conditional...

Vector autoregressions (VAR) combined with Minnesota-type priors are widely used for macroeconomic forecasting. The fact that strong but sensible priors can substantially improve forecast performance implies VAR forecasts are sensitive to prior hyperparameters. But the nature of this sensitivity...