The state space approach to modelling univariate time series is now widely used both in theory and in applications. However, the very richness of the framework means that quite different model formulations are possible, even when they purport to describe the same phenomena. In this paper, we...

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...