most citedRandom matrix ensemble for the covariance matrix of Ornstein-Uhlenbeck processes with heterogeneous temperatures

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econ.EM2025

Stochastic Volatility-in-mean VARs with Time-Varying Skewness

Leonardo N. Ferreira, Haroon Mumtaz, Ana Skoblar

This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows bo…