Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

In the first chapter, I compare the forecasting accuracy of different high-frequency based volatility models. The empirical analysis shows that the HEAVY and the Realized GARCH generally outperform the rest of the models. The inclusion of overnight returns considerably improves volatility...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...