In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

High-frequency activity on NASDAQ / Martin Scholtus and Dick van Dijk -- The profitability of high-frequency trading : is it for real? / Imad Moosa and Vikash Ramiah -- Data characteristics for high-frequency trading systems / Bruce Vanstone and Tobias Hahn -- The relevance of heteroskedasticity...

"We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and...