This paper proposes a class of asymmetric Autoregressive Conditional Duration models, which extends the ACD model of Engle and Russell (1997). The asymmetry consists of letting the duration process depend on the state of the price process in the beginning and at the end of the each duration. If...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiency from such a distribution, location-scale transformation and a transformation to polar coordinates are used.

We use a Bivariate VAR model to model and predict the joint evolution of short term and long term interest rates. We introduce a GARCH effect on the innovations of the model in order to account for the changing vlatility of the series. We test the cointegration of the two interest rates, which...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

We propose a structural econometric evaluation for auctions with discrete increments. Although very common in practice, this kind of mechanism raises many theoretical difficulties. First, there are no closed form equilibriumstrategies. Thus the econometrician cannot rely on a single formula to...

In this paper, we study maximum likelihood estimation and Lagrange multiplier testing of a one-way error components regression model suitable for incomplete panel and including parametrically specified variance functions for both individual-specific and general error disturbances.