This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically …, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH … volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior …

This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible … linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude … including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent compound …

to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in … impact on volatility than a positive innovation (news). This implies that this sector is not efficient under the weak form of …

to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in … impact on volatility than a positive innovation (news). This implies that this sector is not efficient under the weak form of …

Hilfe der Fuzzy-Set Theorie und einem wissensbasierten System qualitative Risikoinformationen erfasst und einer … Monte Carlo simulation is particularly difficult. The second article presents how the fuzzy-set theory allows these factors …

factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its …. (2006). 'Analysis of high dimensional multivariate stochastic volatility models', Journal of Econometrics, 134(2), 341 …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …