When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and … Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not …

simulation evidence for stochastic volatility and stochastic intensity models. For our empirical study, we analyse the …

realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric …