Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty

Identifying Shocks via Time-Varying Volatility

(2021) Daniel J Lewis   REVIEW OF ECONOMIC STUDIES

Identification of Structural Vector Autoregressions by Stochastic Volatility

(2020) Dominik Bertsche et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Robust Inference in Models Identified via Heteroskedasticity

(2020) Daniel J. Lewis   REVIEW OF ECONOMICS AND STATISTICS

Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

(2019) Andrea Carriero et al.   JOURNAL OF ECONOMETRICS

Really Uncertain Business Cycles

(2018) Nicholas Bloom et al.   ECONOMETRICA

A New Approach to Identifying the Real Effects of Uncertainty Shocks

(2018) Minchul Shin et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Macroeconomic Uncertainty Through the Lens of Professional Forecasters

(2017) Soojin Jo et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Identification and estimation of non-Gaussian structural vector autoregressions

(2017) Markku Lanne et al.   JOURNAL OF ECONOMETRICS

Real-time forecast evaluation of DSGE models with stochastic volatility

(2017) Francis X. Diebold et al.   JOURNAL OF ECONOMETRICS

Common Drifting Volatility in Large Bayesian VARs

(2016) Andrea Carriero et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

FRED-MD: A Monthly Database for Macroeconomic Research

(2016) Michael W. McCracken et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Identification Using Stability Restrictions

(2014)   ECONOMETRICA

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility

(2010) Todd E. Clark   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

The Impact of Uncertainty Shocks

(2009)   ECONOMETRICA