Time-varying parameter (TVP) global vector autoregressive (GVAR) model with factor stochastic volatility in the mean (FSVM), abbreviated TVP-GVAR-FSVM, proposed in "Measuring international uncertainty using global vector autoregressions with drifting parameters", forthcoming in Macroeconomic Dynamics.

Working paper: https://arxiv.org/abs/1908.06325

Published: https://doi.org/10.1017/S1365100521000663