We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the diffculties of simulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple...

Many indicators (OECD 1994) show tha the Italian labour market is characterised by a strong pro-workers and pro-unions legislation. This is usually interpreted as a high degree of rigidity. It is known that , in response to shocks, firms in rigid labour markets tend to trade workers adjustment...

This paper presents a method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method to...

I consider multivariate (vector) time series models in which the error covariance matrix may be time-varying. I derive a test of constancy of the error covariance matrix against the alternative that the covariance matrix changes over time. I design a new family of Lagrange-multiplier tests...

Hedging strategies for commodity prices largely rely on dynamic models to compute optimal hedge ratios. This paper illustrates the importance of considering the commodity inventory effect (effect by which the commodity price volatility increases more after a positive shock than after a negative...

This paper illustrates some computationally efficient estimation procedures for the estimation of vast dimensional realized covariance models. In particular, we derive a Composite Maximum Likelihood (CML) estimator for the parameters of a Conditionally Autoregressive Wishart (CAW) model...

Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns, but few studies have investigated the determinants of the correlation dynamics. A common opinion is that the market volatility is a major determinant of the...

Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc Bauwens, Christian Hafner, and Sébastien Laurent, forthcoming in 2012 (John Wiley & sons). This chapter presents an introductory review of volatility models and some applications. The review is linked...

This paper investigates the meaning of systemic risk in energy markets and proposes a methodology to measure it. Energy Systemic Risk is defined by the risk of an energy crisis raising the prices of all energy commodities with negative consequences for the real economy. Measures of the total...

We propose a practical and flexible solution to introduce skewness in multivariate symmetrical distributions. Applying this procedure to the multivariate Student density leads to a "multivariate skew-Student" density, for which each marginal has a different asymmetry coefficient. Similarly, when...