under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

(2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete … jumps are proportional to the bubble size. Thus, the jumps tend to efficiently bring back excess bubble prices close to a … “normal” or fundamental value (“efficient crashes”). This is different from existing processes studied that assume jumps that …

covers different types of forecasting applications encountered in the literature. We are concerned with 1-step …