We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent...

This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model...

This paper sheds new light on the mixture of distribution hypothesis by means of a study of the exchange rate volatility of the Norwegian krone. First, we find that the impact of changes in the number of information events on exchange rate volatility is statistically significant, and recursive...

We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student density leads to a multivariate skew-Student density, in which each marginal has a specific asymmetry coefficient. Combined with a...