This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov …

investment, CDS spreads, exchange rates, and stock return volatility. Using over 8.6 million ticker transaction observations and …) significantly reduce foreign net buys, more than global market volatility (VIX). While global volatility drives CDS spreads, these …