The standard continuous-state GARCH model is misspecified if applied to returns calculated from discrete price series. We propose a modiÞcation of the above model for handling such cases, by modeling the dependent variable as an unobservable stochastic variable with certain observed outcomes....

This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their...

This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their...

The aim of this article is to analyze and discover reasons for district’s unemployment rate variety in Poland. According to theory and published findings the study concentrates on relationships between unemployment rate in region and economic although infrastructure and social factors. The...

While Robert and Rousseau (2010) addressed the foundational aspects of Bayesian analysis, the current chapter details its practical aspects through a review of the computational methods available for approximating Bayesian procedures. Recent innovations like Monte Carlo Markov chain, sequential...

Following Doménech and Gómez (2006), and using quarterly Peruvian data for 1970:1-2007:4, I estimate a model that exploits the information contained in the inflation, unemployment and private investment rates in order to estimate non-observable variables as output gap, the NAIRU and the core...