fiscal deficits in a number of countries. Despite recent major fiscal reforms around the world, many countries suffer from … deficit or volatility problems, while others do not? What factors are most important in explaining cross-country variation in …

This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences …

-- The Credit Market and Economic Activity: Theories on Credit Market, Credit Risk and Economic Activity -- Empirical Tests …: Static Portfolio Theory: CAPM and Extentsions -- Consumption Based Asset Pricing Models -- Asset Pricing Models with … -- Exchange Rate Shocks, Financial Crisis and Output Loss -- International Portfolio and the Diversification of Risk …

-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …

Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration … the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …