During the last decade The Netherlands witnessed an increase in the pace of job creation and job destruction. A sensitivity analysis using an empirical model of labour market flows shows thatthe congestion in the matching process due to the increase in the pace of job creation and destruction...

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...