The Probability of Informed Trading (PIN) is a widely used indicator of information asymmetry risk in the trading of securities. Its estimation using maximum likelihood algorithms has been shown to be problematic, resulting in biased estimates, especially in the case of liquid and frequently...

We explore time variation in the shape of the conditional return distribution using a model of multiple quantiles. We propose a joint model of scale (proxied by the interquartile range) and other quantiles standardised by the scale. The model allows us to capture the scale and shape of the...

This paper studies the problem of covariance estimation when prices are observed non-synchronously and contaminated by i.i.d. microstructure noise. We derive closed form expressions for the bias and variance of three popular covariance estimators, namely realised covariance, realised covariance...

Vector autoregressive (VAR) models are the main work-horse model for macroeconomic forecasting, and provide a framework for the analysis of complex dynamics that are present between macroeconomic variables. Whether a classical or a Bayesian approach is adopted, most VAR models are linear with...

A novel Bayesian method for inference in dynamic regression models is proposed where both the values of the regression coefficients and the importance of the variables are allowed to change over time. We focus on forecasting and so the parsimony of the model is important for good performance. A...

The importance of including jumps in prices in models of financial returns has long been understood. However, there has been relatively little work considering the dynamics of the jumps. In this paper, a stochastic volatility model with jumps is developed in which the jumps follow a Hawkes...

An efficient method for Bayesian inference in stochastic volatility models uses a linear state space representation to define a Gibbs sampler in which the volatilities are jointly updated. This method involves the choice of an offset parameter and we illustrate how its choice can have an...