The aim of this paper is to examine the empirical usefulness of two new MSF - Scalar BEKK(1,1) models of n-variate volatility. These models formally belong to the MSV class, but in fact are some hybrids of the simplest MGARCH and MSV specifications. Such hybrid structures have been proposed as...

The s-period ahead Value-at-Risk (VaR) for a portfolio of dimension n is considered and its Bayesian analysis is discussed. The VaR assessment can be based either on the n-variate predictive distribution of future returns on individual assets, or on the univariate Bayesian model for the...

The paper is devoted to discussing consequences of the so-called Frisch-Waugh Theorem to posterior inference and Bayesian model comparison. We adopt a generalised normal linear regression framework and weaken its assumptions in order to cover non-normal, jointly elliptical sampling...