A new dynamic factor SVM-in-mean VAR specification for large panels lets common volatility factors influence both variances and means, yielding better forecasts than standard SV VAR during the 2008 crisis.
Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
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Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
A new dynamic factor SVM-in-mean VAR specification for large panels lets common volatility factors influence both variances and means, yielding better forecasts than standard SV VAR during the 2008 crisis.