Adaptive radial-based direction sampling (ARDS) algorithms are specified for Bayesian analysis of models with nonelliptical, possibly, multimodal target distributions. A key step is a radial-based transformation to directions and distances. After the transformations a Metropolis-Hastings method...

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algoritms for this type of model are ineffective, but that this problem can be removed by...

We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model...

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, location-scale transformation and a transformation to polar coordinates are used....

This article assesses the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates over the period 1989--2003. We identify the currency components of the mean and volatility processes of exchange rates...