We build on two contributions that have found conditions for large dimensional networks or systems to generate long memory in their individual components, and provide a multivariate methodology for modeling and forecasting series displaying long range dependence. We model long memory properties...

In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on...

The general-to-specific (GETS) approach to modelling is widely employed in the modelling of economic series, but less so in financial volatility modelling due to computational complexity when many explanatory variables are involved. This study proposes a simple way of avoiding this problem and...

We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the optimization procedure is carried out at regular time intervals. For the estimation of the...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analyti-cal knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

Public sales art catalogues include low and high pre-sale price estimates by experts. This makes it possible to analyze whether pre-sale estimates are unbiased predictors of realized prices. Unbiasedness is tested using a sample of some 1,600 lots of English silver auctioned by Christie's and...

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break...

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and post-announcement reactions. Using high-frequency intraday data and within the framework of...