This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time … factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its … special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of the estimation …

, in addition to a double gamma process to reflect the stochastic nature of volatility coefficients. The leverage effect …. One application of this model is to price volatility contracts whose payoffs depend on realized variance or volatility … pricing based on the model estimated from historical data. The estimation of the model parameters is carried out by maximizing …

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 …

). 'Likelihood-based estimation of latent generalized ARCH structures', Econometrica, 72(5), 1481-1517. [The definitive version is …

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 …

Situation auf dem formellen Beteiligungsmarkt in Deutschland nach dem Ausbruch der Finanzkrise. Neben den allgemeinen …

potentialearly warning indicators that are suggested by theory. Alongsideothers, these candidate indicators are tested in …