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 …

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 …

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 …

forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian … methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on … of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch …

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 …