This paper examines the lead/lag relations between size-sorted portfolio returns through the lens of financial cycles governing these returns using a novel econometric methodology. Specifically, we develop a Markov-switching vector autoregressive model that allows for imperfect synchronization...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...