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Specification tests for time-varying parameter models with stochastic volatility
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References

  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 1997The NAIRU, Unemployment and Monetary Policy666 cited
  • 2013Large time-varying parameter VARs504 cited
  • 2010Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility423 cited
  • 2012FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*393 cited
  • 2011Macroeconomic forecasting and structural change360 cited
  • 2014Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility318 cited
  • 2004Deviance Information Criterion for Comparing Stochastic Volatility Models292 cited
  • 2008On the evolution of the monetary policy transmission mechanism261 cited
  • 2008The “Great Moderation” in the United Kingdom154 cited
  • 2013Moving average stochastic volatility models with application to inflation forecast144 cited
  • 2016Dealing with Stochastic Volatility in Time Series Using the R Package stochvol

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135 cited
  • 2011Oil and stock market volatility: A multivariate stochastic volatility perspective99 cited
  • Cited by

    • 2021Returns, volatility and the cryptocurrency bubble of 2017–1845 cited
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    • 2019Exploring Trend Inflation Dynamics in Euro Area Countries22 cited
    • 2019Is the slope of the Phillips curve time-varying? Evidence from unobserved components models15 cited
    • 2024Drivers of the natural long-term rate of interest (and why the economy hasn’t tanked)13 cited
    • 2021Anchoring of inflation expectations in large emerging economies10 cited