This paper introduces a Bayesian forecasting model that accommodates innovative outliers. The hierarchical specification of prior distributions allows an identification of observations contaminated by these outliers and endogenously determines the hyperparameters of the Minnesota prior....

This chapter proposes augmenting a simple income stock price model with spatial structures to evaluate the significance of real and financial linkages in instigating stock market contagion. The treatment is premised upon the clustering of excessive returns and volatilities during the Subprime...