Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...

Intro -- The Volatility Smile -- Contents -- Preface -- Acknowledgments -- About the Authors -- 1 Overview -- Introduction -- The Black-Scholes-Merton Model and Its Discontents -- A Quick Look at the Implied Volatility Smile -- No-Nonsense Financial Modeling -- About Theorems and Laws -- On...

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...