stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

Panel Data model. We discuss issues involved when drawing Bayesian inference on regression parameters and variance …

distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational … efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …

importance of a robust and flexible estimation strategy is demonstrated where the complete posterior distribution is explored. In …

in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid …

suggested by the ‘financial accelerator’ theory. Multivariate Markov-switching models that allow for phase shifts between the …