). 'Likelihood-based estimation of latent generalized ARCH structures', Econometrica, 72(5), 1481-1517. [The definitive version is …

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time … factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its … special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of the estimation …

variance in stochastic volatility models, thus providing a model-free and consistent alternative to realized variance. Its … robustness property means that if we have a stochastic volatility plus infrequent jumps process, then the difference between …. (2004). 'Power and bipower variation with stochastic volatility and jumps', Journal of Financial Econometrics, 2(1), 1 …

rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-à-vis the German mark using …

.---------------------------------------------The analysis of volatility in the prices received by producers of coffee in the international market has demonstrated the … persistence of volatility in the group was observed by empirical measurement of econometric models GARCH. The test ARCH … volatility. The sum of the coefficients of reaction (ARCH) and persistence (GARCH) resulted in values very close to 1 for these …

aims to analyze the volatility process of the return the prices of beef cattle in the State of São Paulo; examining two … factors determinatives, the persistence of shocks and asymmetry in the volatility, by means of the application of ARCH …/GARCH models. The empirical results had shown persistence reactions and asymmetry in the volatility, that is, the negative and …

. The volatility of spot stocker cattle prices is comparable to spot feeder cattle prices, supporting the idea of using … feeder cattle implied volatility measures as estimates of stocker cattle futures implied volatility in option pricing models …

hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and … market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are …

The volatility of agricultural markets has increased remarkably in recent years. In spite of this, the way in which … supply chain actors perceive market volatility has only rarely been analyzed. This paper seeks to close this research gap by … presenting empirical findings about how the volatility of agricultural markets is perceived, how increasing market volatilities …