In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...

Empirical evidence suggests a sharp volatility decline of the growth in U.S. gross domestic product (GDP) in the mid-1980s. Using Bayesian methods, we analyze whether a volatility reduction can also be detected for the German GDP. Since statistical inference for volatility processes critically...

We use panel probit models with unobserved heterogeneity and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood evaluation of these models requires high-dimensional...

In this paper we discuss parameter identification and likelihood evaluation for multinomial multiperiod Probit models. It is shown in particular that the standard autoregressive specification used in the literature can be interpreted as a latent common factor model. However, this specification...

We extend the model by DeGrauwe and Grimaldi (2006, EER) by currency transaction taxes. This model explains the exchange rate behavior by the interaction of heterogeneous traders who display either trend chasing behavior or rely on a return of the exchange rate back to its arbitrage free...

Several empirical studies are concerned with measuring the effect of currency and current account crises on economic growth. Using different empirical models this paper serves two aspects. It provides an explicit assessment of country specific factors influencing the costs of crises in terms of...

With reference to the class of asset pricing models with a market maker and mean-variance optimization of speculative agents, the note seeks to clarify the concepts behind the price adjustment rule, which are often treated somewhat carelessly in this literature. Calling attention to the...

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...

We use panel probit models with unobserved heterogeneity, state-dependence and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood-based inference of these models requires...

This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of dynamic latent variable models involving finite or infinite mixtures leading to possibly heavy tailed and/or multi-modal target densities. Our approach is based upon the efficient...