This article proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison is conducted with a range of multivariate GARCH models and existing RCOV models from the literature. The...

This article compares multivariate and univariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to forecast portfolio value-at-risk (VaR). We provide a comprehensive look at the problem by considering realistic models and diversified portfolios containing a large...

In this article, we derive the corresponding implied VIX formulas under the locally risk-neutral valuation relationship (LRNVR) proposed by Duan (1995) when a class of square-root stochastic autoregressive volatility (SR-SARV) models are proposed for S&P 500 index. The empirical study shows that...

This article presents a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...

This article presents a dynamic Nelson--Siegel term structure model subject to regime shifts. To estimate the model, we introduce the reversible jump Markov chain Monte Carlo method, which allows jumps between the one-, two-, and three-regime models. The empirical results support the two-regime...

We develop a new class of regime-switching volatility models that are characterized by high-dimensional state spaces, parsimonious transition matrices, and ARMA dynamics for the log volatility process. This combination of features is achieved by assuming that we can decompose the Markov chain...