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 …

the euro area, even after controlling for global shocks and changes in volatility. Not surprisingly, negative events in …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

rate, and real growth in GDP are significant in influencing KLCI volatility, while M2, M3, inflation rate and interest rate … affected DJINA volatility. On the other hand, in the Islamic indices, KLSI and DJIMI variance is influenced by M2, M3, and … inflation rate. -- Macroeconomic volatility ; GARCH ; Islamic index …