Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications

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Oil price shocks and uncertainty: How stable is their relationship over time? (2018, methodology): “The MCMC algorithm is presented in detail in Nakajima (2011).”
Global dollar credit: links to US monetary policy and leverage (2015, unknown): “These effects of large-scale bond buying on the amount and pricing of dollar bonds issued by non-US borrowers operates in addition to any effect such unconventional policy has in lowering the yields on bonds denominated in other currencies (Neely (2014), Bauer and Neely (2014) and Rogers et al (2014”
Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis (2020, methodology): “To this end, we employ a dynamic approach- that is, a time-varying parameter vector autoregression (TVP-VAR) approach (Nakajima, 2011; Primiceri, 2005) - to explore the possible dynamic relation among the COVID-19 pandemic, the crude oil market and the stock market.”
Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, methodology): “According to Nakajima (2011), the mean, SD, 95% confidence level, Geweke’s convergence diagnostic (CD) and inefficiency factors are used to estimate the TVP-VAR model, as shown in Table 4.”