Purpose – This paper aims to statistically model the serial dependence in the first and second moments of a univariate time series using copulas, bridging the gap between theory and applications, which are the focus of risk managers. Design/methodology/approach – The appealing feature of the...

En este artículo se presenta una breve descripción de modelos GARCH multivariados y se realizan inferencias de la volatilidad de series de tiempo usando un enfoque Bayesiano, utilizando algoritmos de simulación de Monte Carlo (MCMC). Como una aplicación para ilustrar la metodología...

The PSE noted incredible increase in both trading volumes and prices of traded stocks during last five years. The PX index (former PX-50) reached the level of 1600 points at the end of 2006, which is almost four times higher than in 2001. Cointegration analysis can show us if the growth has been...

In this study we employ augmented and switching time series models to find possible existence of business cycle asymmetries in U.S. stock returns. Our approach is fully parametric and testing strategy is robust to any conditional heteroskedasticity, and outliers that may be present. We also...

This paper develops a new model of market abuse detection in real time. Market abuse is detected, as Minenna (2003) proposed, on the basis of prediction intervals. The model structure is based on the discrete-time, extended market model introduced by Monteiro, Zaman, Leitterstorf (2007) to...

In this study, we develop a framework, based on a global vector autoregression (GVAR) model, to unite two perspectives on commodity markets, the commodity-specific, single-market-centered approach, investigating the micro- and macroeconomic drivers of commodity prices, and the market...

We propose a dynamic factor state-space model for the prediction of high-dimensional realized covariance matrices of asset returns. Using a block LDL decomposition of the joint covariance matrix of assets and factors, we express the realized covariance matrix of the individual assets similar to...

This paper examines the relationship between economic growth and reserve accumulation in Nigeria using quarterly data from 2011:Q3 to 2019:Q1 in a nonlinear autoregressive distributed lag (NARDL) framework which allows for the short- and long-run nonlinearities to be investigated through...

This paper builds a short-term inflation projections (STIP) model for Latvia. The model is designed to forecast highly disaggregated consumer prices using cointegrated ARDL approach of [Pesaran, M., & Shin, Y. (1998). An Autoregressive Distributed Lag Modelling Approach to Cointegration...

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. The method calculates the conditional expectations of the coefficients, given the observations. A penalized least squares estimation is linked to the GLS (Aitken) estimates of...