In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and...

This article discusses Windle and Carvalho's (2014) state-space model for observations and latent variables in the space of positive symmetric matrices. The present discussion focuses on the model specification and on the contribution to the positive-value time series literature. I apply the...

This paper considers a sparsity approach for inference in large vector autoregressive (VAR) models. The approach is based on a Bayesian procedure and a graphical representation of VAR models. We discuss a Markov chain Monte Carlo algorithm for sparse graph selection, parameter estimation, and...

We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...

In high-dimensional vector autoregressive (VAR) models, it is natural to have large number of predictors relative to the number of observations, and a lack of efficiency in estimation and forecasting. In this context, model selection is a difficult issue and standard procedures may often be...

We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-move sampling techniques for Markov Switching (MS) state space models with particular attention to MS-GARCH models....

Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. In this paper, we propose a new semiparametric model for temporal multilayer causal networks with both intra- and inter-layer connectivity. A Bayesian model with...