dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …