back-testing models. We conclude by comparing in-sample and out-of-sample performances of complex volatility models. …

paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate … volatility puzzle. Second, the paper aims at shedding new light on the distinction between rules and discretion in monetary …

Empirical evidence suggests a sharp volatility decline of the growth in U.S. gross domestic product (GDP) in the mid …-1980s. Using Bayesian methods, we analyze whether a volatility reduction can also be detected for the German GDP. Since … statistical inference for volatility processes critically depends on the specification of the conditional mean we assume for our …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very …