Common Drifting Volatility in Large Bayesian VARs

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Large Order-Invariant Bayesian VARs with Stochastic Volatility (2021, background): “In contrast, the common stochastic volatility models considered in Carriero, Clark, and Marcellino (2016) and Chan (2020) are order invariant and can be estimated quickly even for large systems.”
Common and country specific economic uncertainty (2017, methodology): “As explained in Carriero et al. (2012), the common volatilities can be interpreted as the average of the variance of the shocks with equal weight given to each individual volatility.”
Macroeconomic Uncertainty Through the Lens of Professional Forecasters (2019, unknown): “On the macroeconomic side, Carriero et al. (2015) introduce a VAR model where macroeconomic variables share a common stochastic volatility factor.”
Measuring Uncertainty and Its Impact on the Economy (2016, unknown): “, n, (19) Φu |Π, A, β, δ, γ,m1:T, f1:T, h1:T, y1:T ∼ IW (dΦu · Φu + ΣT t=1u(2) t , dΦu + T ).”
Sparse Bayesian time-varying covariance estimation in many dimensions (2016, methodology): “Consequently, it is frequently used instead of the actual LPS in high dimensions while still allowing for evaluation of the covariance accuracy (Adolfson et al. 2007; Carriero et al. 2016; Huber 2016).”
Large time-varying parameter VARs (2013, background): “Examples include Canova and Ciccarelli (2009) and Carriero et al. (2012).”