methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …

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 …