The computational revolution in simulation techniques has shown to become a key ingredient in the field of Bayesian econometrics and opened new possibilities to study complex economic and financial phenomena. Applications include risk measurement, forecasting, assessment of policy effectiveness...

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...

Time series of counts are often characterized by high overdispersion and persistence. These extreme features challenge the existing models. We approach this problem by combining the framework of INAR with a latent Markov structure. We call it HMM-INAR since it belongs to the class of hidden...