It is well known from anecdotal, survey and econometric evidence that the relationshipbetween the exchange rate and macro fundamentals is highly unstable. Thiscould be explained when structural parameters are known and very volatile, neitherof which seems plausible. Instead we argue that large...

This dissertation consists of three stand-alone research papers, all of which treat the topic of estimation and dynamic modelling of multivariate volatility by employing the information contained in high-frequency data, which became available in the last 10 - 15 years. The main focus of all...

Standard statistical methods in the empirical economics and finance literature are mostly applicable to data that is aggregated on equally spaced time points. However, a key characteristic of many economic and financial variables is that they occur randomly and are observed irregularly in time....

Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions....