and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models …. For this purpose, the Standard bivariate mixture model of Tauchen and Pitts (1983) in which volatility and volume are … each endowed with their own dynamic behavior are allowed to direct volatility and volume. Since the latent information …

specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate … volatility puzzle. Second, the paper aims at shedding new light on the distinction between rules and discretion in monetary …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and …

specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very …

Empirical evidence suggests a sharp volatility decline of the growth in U.S. gross domestic product (GDP) in the mid …-1980s. Using Bayesian methods, we analyze whether a volatility reduction can also be detected for the German GDP. Since … statistical inference for volatility processes critically depends on the specification of the conditional mean we assume for our …