In this paper, we present a brief description of multivariate GARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use another inference approach to get...

In this paper, we present a brief description of multivariate GARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use another inference approach to get...

We propose a modelling treatment for the option-implied risk neutral distribution (RND) which disaggregates its long-term and short-term dynamics. Long memory parameters calibrated on the RND moments serve as tractable mathematical constructs to filter out effects of smooth structural change...

In this paper, we compare the small sample performances of Quasi Maximum Likelihood (QML) and Monte Carlo Likelihood (MCL) methods through Monte Carlo studies for several multivariate stochastic volatility models, among which we consider two new models that account for leverage effects. Our...

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...

We apply non-linear error-correction models to the empirical testing of the sustainability of the government's intertemporal budget constraint. Our empirical analysis, based on Italy, shows that the Italian government is meeting its intertemporal budget constraint, in spite of the high levels of...

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

World power and gas markets have a natural relationship with global tradable carbon permits markets, including the U.S. Clean Air Act Amendments and the EU Emissions Trading Scheme, the latter officially launched in January 2005. Electric utilities operate their power plants based in part on the...