-driven models. We consider dynamic count, intensity, duration, volatility and copula models, including new specifications that have …

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the … parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a …

estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic … approximation algorithms whose gain sequence is decreasing to zero. Our focus is on the estimation of the parameters in the …

presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests …