Time-Varying Parameter VAR Model with Stochastic Volatility : An Overview of Methodology and Empirical Applications

@inproceedings{Nakajima2011TimeVaryingPV,
  title={Time-Varying Parameter VAR Model with Stochastic Volatility : An Overview of Methodology and Empirical Applications},
  author={Jouchi Nakajima},
  year={2011}
}
This paper aims to provide a comprehensive overview of the estimation methodology for the time-varying parameter structural vector autoregression (TVP-VAR) with stochastic volatility, in both methodology and empirical applications. The TVP-VAR model, combined with stochastic volatility, enables us to capture possible changes in underlying structure of the economy in a flexible and robust manner. In this respect, as shown in simulation exercises in the paper, the incorporation of stochastic… CONTINUE READING
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