Notes and Code on Applied Bayesian Econometrics for Central Bankers. (Code) VAR with SVOL in mean and correlation between level and volatility shocks. See Mumtaz (2018) Panel Threshold VAR with hierarchical prior (Matlab code) Panel VAR with hierarchical prior (Matlab Code) TVP VAR with stochastic volatility (Matlab code) Two regime threshold VAR model estimated via the algorithm in Chen and Lee (