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Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour

emerging markets, foreign exchange rates, structural exchange rate models, technical trading, heterogeneous agents

Public-to-Private Transactions, Private Equity, Corporate Governance

public-to-private transactions, corporate governance, private equity

Going Private Transactions, Corporate Governance, Private Equity

Realized volatility, high-frequency data, long memory, day-of-the-week effect, leverage effect, volatility forecasting, smooth transition

technical trading, high-frequency trading, latency costs, trading speed, market activity

Bull and Bear Markets, Regime Switching Models, Portfolio Selection, Active Management

value, momentum, earnings revisions, risk, behavioral models, overreaction, underreaction

return predictability, model uncertainty, dynamic factor models, variable selection

Term structure of interest rates, Nelson-Siegel model, Affine term structure model, forecast combination, Bayesian analysis

corporate governance, excess cash, take-over defences

monetary policy announcements, interest rate surprises, high-frequency data, realized volatility

monetary policy announcements, interest rate surprises, high-frequency data, realized volatility

monetary policy announcements, interest rate surprises, high-frequency data, realized volatility

realized volatility, high-frequency data, volatility timing, mean-variance analysis, tracking error

private equity funds, recommitment strategy, strategic asset allocation, overcommitment

corporate governance, disclosure, cost of debt, shareholder rights, agency costs, information risk, interaction effect

Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation

Stock return predictability, model uncertainty, Bayesian model averaging, structural breaks, portfolio selection

analysts' earnings forecasts, emerging markets, macroeconomic forecasts, forecast accuracy

copulas, dependence, international correlations, stock markets

Dependence, Stock markets, Copulas, International correlations

macroeconomic news, high frequency trading, latency costs, market activity, event-based trading

Multivariate GARCH, dynamic conditional correlation, kernel regression, minimum variance portfolio, tracking error minimization

contagion, stock market crises, interdependence

Information, macroeconomic announcements, order flow, treasury futures

Copula-based density forecast, semiparametric statistics, out-of-sample forecast evaluation, Kullback-Leibler Information Criterion, empirical copula

Term structure of interest rates, Nelson-Siegel model, affine term structure model, macro factors, forecast combination, model confidence set

Financial crisis, firm-level data

Exchange rates, multivariate GARCH, dynamic conditional correlation, structural breaks

Electricity market, Forwards and futures, Factor models, Affine processes

High dimensionality, nonlinear forecasting, ridge regression, kernel methods

Structural breaks, Bayesian analysis, forecasting, MCMC methods, nonlinear time series

yield curve prediction, Nelson-Siegel model, factor extraction, variable selection

Economic growth, parameter heterogeneities, latent class models, panel time series

Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve

State-space models, Markov-switching models, Threshold models, Bayesian inference, Business cycle asymmetry

factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading

Data revision, forecast evaluation, parameter uncertainty, Bayesian estimation, structural breaks

Inflation, output gap, structural change, asymmetry, smooth transition model

imperfect synchronization, phase shifts, regime-switching models, Bayesian analysis

forecasting, high frequency data, market microstructure noise, realized range, two time scales, realized variance

Business cycle, phase shifts, regime-switching models, Bayesian analysis

Electricity market, Forecasting, Hourly prices, Dimension reduction, Shrinkage, Forecast combinations

Copula-based density forecast, Kullback-Leibler Information Criterion, out-of-sample forecast evaluation

Alternative Investments, Private Equity, Portfolio Management, Alternative Investment Portfolio Management Strategies, Private Equity, Private Equity Capital Portfolios, Management of Institutional Investor Portfolios

federal funds target rate, real-time forecasting, dynamic ordered probit, variable selection, Bayesian analysis, importance sampling

bias-correction, high-frequency data, market microstructure noise, realized co-range, realized covariance