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 … between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov …

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 …

economic crisis. Readers will find a unified mathematical theory of speculation and new chapters that discuss neoliberalism …

Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …