The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as an auxiliary model a time-varying generalization of the HAR...

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

This discussion paper resulted in a publication in the <A href="http://people.few.eur.nl/hkvandijk/PDF/Bos_Mahieu_and_Van_Dijk_2000_JoAE_daily_exchange_rate.pdf">'Journal of Applied Econometrics'</A>, 2000, 15(6), 671-696.<P> We construct models which enable a decision-maker to analyze the implications oftypical timeseries patterns of daily exchange rates for currency risk management. Ourapproach is...</p></a>

This discussion paper resulted in a publication in (I. Edward George (eds.)), 2001, Bayesian methods with applications to science, policy and official statistics, Eurostat, 31-40.<P> Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by...</p>

This discussion paper led to a publication in the 'Journal of Applied Econometrics', 2000, 15(6), pages 671-696.<P> Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a...</p>

This discussion paper resulted in a publication in: (W. Jansen and J.G. Bethlehem eds.) 'Compstat 2000, Statistics Netherlands', 2000, pages 13-14.<P> Adaptive Polar Sampling is proposed as an algorithm where random drawings aredirectly generated from the target function (posterior) in...</p>

We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model...

Internationally operating firrns naturally face the decision whether or not to hedge the currency risk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk (2000) evaluate the returns from optimal and alternative currency hedging strategies, for a series of 7 models, using...