volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury … corporate bond-yield spread decreases the risk free rate. Finally, we note that while allowing for heavy tails receives a fair …