DSGE Models with observation-driven time-varying volatility

@article{Angelini2018DSGEMW,
  title={DSGE Models with observation-driven time-varying volatility},
  author={Giovanni Angelini and Paolo Gorgi},
  journal={Economics Letters},
  year={2018}
}
A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters
We propose an observation-driven time-varying SVAR model where, in agreement with the Lucas Critique, structural shocks drive both the evolution of the macro variables and the dynamics of the VAR

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