The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business...

This paper considers a multivariate system of fractionally integrated time series and investigates the most appropriate way for estimating Impulse Response (IR) coefficients and their associated confidence intervals. The paper extends the univariate analysis recently provided by Baillie and...