accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

1989-2003. We identify the currency components of the mean and the volatility processes of exchange rates using the recent …

series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo … methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian … inference compared to frequentist estimation techniques, and model uncertainty by combining forecasts from individual models … using the Bayesian or frequentist approach. We show that mitigating model uncertainty by combining forecasts leads to …