• Selected
• Entire List

Volatility, Multivariate GARCH models, Financial econometrics

Financial point processes, dynamic duration models, dynamic intensity models

Duration, intensity, point process, high frequency data, ACD models

GARCH, regime switching, Bayesian inference

Multivariate skew density, multivariate student density, multivariate GARCH models, Value-at-Risk

foreign exchange market, volatility, news announcements, high frequency data

foreign exchange market, volatility, news announcements, high frequency data

duration, high frquency data, liquidity, market microstructure

Duration and transition model, High frequency data, Market microstructure

GARCH, persistence, volatility components, value-at-risk, expected shortfall

Multivariate point process, latent factor, transaction durations, efficient importance sampling

Duration, Hazard function, Market microstructure, Latent variable model

GARCH, Markov-switching, Bayesian inference

Numerical integration, simulation, dynamic discrete choice, stochastic volatility, finire mixtures

Duration model, overdispersion, autocorrelation function, high frequency financial data

ACD, trade durations, high frequency data, Tokyo Stock Exchange

Duration processes, transactions data, intra-day financial markets, density forecast evaluation

Optimal portfolio selection, Value-at-Risk, GARCH models, Foreign exchange markets

auctions, pre-sale price estimate, unbiasedness

Exchange Rate Volatility, General to Specific, Forecasting

Exchange rate volatility, log-linear analysis, mixture of distribution hypothesis

Exchange rate volatility, log-linear analysis, mixture of distribution hypothesis

Bayesian inference, Clustering, GARCH, Gibbs sampling, Mixtures

Disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing

stochastic conditional duration, importance sampling

Finite mixture, ML estimation, Bayesian inference, Value at Risk.

Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

Bayesian inference, dynamic regression model, prior distributions, MCMC methods

Latent variables, disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing

Bayesian inference, Simulation, GARCH, Markov-switching model, Change-point model, Marginal likelihood, Particle MCMC

Forecasting, change-points, Markov switching, Bayesian inference

Forecasting, change-points, Markov switching, Bayesian inference

Citations, knowledge economics, research performance, university governance

conditional intensity function, efficient importance sampling, multivariate point processes, parameter-driven and observation-driven models, price intensities

Markov chain Monte Carlo, importance sampling, radial coordinates

Bayesian inference, GARCH, Option pricing, simulation

Ranking economics departments, journal ranking

Bayesian inference, GARCH, Gibbs sampler, Monte Carlo, Option pricing.