The importance of assessing and estimating the impact of the COVID-19 pandemic on financial markets and economic activity has attracted the interest of researchers and practitioners in recent years. The proposed study aims to explore the pandemic's impact on the economic activity of six Euro...

In this paper, a Bayesian approach is suggested to compare unit root models with stationary models when both the level and the error variance are subject to structural changes (known as breaks) of an unknown date. The paper utilizes analytic and Monte Carlo integration techniques for calculating...

In this paper, a Bayesian approach is suggested to compare unit root models with stationary autoregressive models when both the level and the error variance are subject to structural changes (known as breaks) of an unknown date. Ignoring structural breaks in the error variance may be responsible...

In this paper a Bayesian approach to unit root testing for panel data models is proposed based on the comparison of stationary autoregressive models with and without individual determinist trends, with their counterpart models with unit autoregressive roots. This is done under cross-sectional...

In this article, a Bayesian approach is suggested to compare unit root models with stationary autoregressive models when the level, the trend, and the error variance are subject to structural changes (known as breaks) of an unknown date. Ignoring structural breaks in the error variance may be...

A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. We provide implementation details and illustrations using the General...