We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to …

Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a …

This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH … used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …

motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. …We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian …

This paper examines the structural determinants of output volatility in developing countries, and especially the roles … of geography and institutions. We investigate the volatility effects of market access, climate variability, the … market access: remote countries are more likely to have undiversified exports and to experience greater volatility in output …