This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically …, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH … volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior …

This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible … linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude … including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent compound …

, in addition to a double gamma process to reflect the stochastic nature of volatility coefficients. The leverage effect …. One application of this model is to price volatility contracts whose payoffs depend on realized variance or volatility …

to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in … impact on volatility than a positive innovation (news). This implies that this sector is not efficient under the weak form of …

Hilfe der Fuzzy-Set Theorie und einem wissensbasierten System qualitative Risikoinformationen erfasst und einer … Monte Carlo simulation is particularly difficult. The second article presents how the fuzzy-set theory allows these factors …

sets simulated for Full Signal Detection Theory and its special cases of standard Signal Detection Theory and Complementary … Signal Detection Theory. …

factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its … algorithm (which relies on MCMC methods) are: (1) a reduced blocking scheme for sampling the free elements of the loading matrix …. (2006). 'Analysis of high dimensional multivariate stochastic volatility models', Journal of Econometrics, 134(2), 341 …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …