Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … volatility components. From a practical point of view, ML also becomes computationally unfeasible for large numbers of components … forecasts which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo …

forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo … linear compared to optimal forecasts is small. Extending the number of volatility components beyond what is feasible with MLE …

accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian … crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility …

More financially developed countries show lower volatility of industrial output. Volatility is particularly reduced in … industries that are more financially dependent. Most of the reduction is in idiosyncratic volatility. Systematic volatility is …