In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

, one potentially adverse effect of globalization is the possibility that business cycle volatility might increase. Rapid … to unstable international capital flows. At the same time, business cycle volatility in OECD countries seems to have been …

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior … applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to …