Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the...

In this paper, we investigate the dynamics of age-cohort survival curves under the assumption that the instantaneous mortality intensity is driven by an affine jump-diffusion (AJD) process. Advantages of an AJD specification of mortality dynamics include the availability of closed-form...