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.
The unimodal posterior distributions confirm the stability of factor identification
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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.