Common Drifting Volatility in Large Bayesian VARs
نویسندگان
چکیده
منابع مشابه
Common Drifting Volatility in Large Bayesian VARs∗
The general pattern of estimated volatilities of macroeconomic and financial variables is often broadly similar. We propose two models in which conditional volatilities feature comovement and study them using U.S. macroeconomic data. The first model specifies the conditional volatilities as driven by a single common unobserved factor, plus an idiosyncratic component. We label this model BVAR wi...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2016
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2015.1040116