Since the attribution of the Nobel prize in 2002 to Kahneman for prospect theory, behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment...

Multivariate time varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have attracted a lot of practical interest. Bayesian and classical techniques...

A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. We provide implementation details and illustrations using the General...

A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter estimation, model selection and volatility prediction. Classical and Bayesian techniques are used...

A major gap exists between the conceptual suggestion of how much a nation should invest in science, innovation, and technology, and the practical implementation of what is done. We identify 4 critical challenges that must be address in order to develop an environment conducive to collaboration...