estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …

predictors, where robust stands for the use of mixtures of proper conjugate priors. Concerning dynamic analysis, volatility …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on …

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian … crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility …