This paper studies the leverage effect and its propagation over time. We show that common volatility models like the GJRGARCH, the Exponential GARCH, and the asymmetric SV can be inappropriate to correctly represent the leverage effect and its propagation for financial time series. We propose to...

The tick structure of the financial markets entails that price changes observed at very high frequency are discrete. Departing from this empirical evidence we develop a new model to describe the dynamic properties of multivariate time-series of high frequency price changes, including the high...

This paper studies the behaviour of crypto-currencies financial time-series of which Bitcoin is the most prominent example. The dynamic of those series is quite complex displaying extreme observations, asymmetries and several nonlinear characteristics which are difficult to model. We develop a...

We present a new modelling framework for the bi-variate hidden Markov model. The proposed specification is composed by five latent Markovian chains which drive the evolution of the parameters of a bi-variate Gaussian distribution. The maximum likelihood estimator is computed via an expectation...

In this paper we propose a new class of dynamic mixture models (DAMMs) being able to sequentially adapt the mixture components as well as the mixture composition using information coming from the data. The information driven nature of the proposed class of models allows to exactly compute the...

This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen, Lunde, and Nason (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of "superior" models, where the null hypothesis of Equal...

We propose a new spatio--temporal model with time--varying spatial weighting matrices. The filtering procedure of the time--varying unknown parameters is performed using the information contained in the score of the conditional distribution of the observables. We provide conditions for the...