CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
Université catholique de Louvain
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Volatility, Multivariate GARCH models, Financial econometrics
Duration, intensity, point process, high frequency data, ACD models
Financial point processes, dynamic duration models, dynamic intensity models
GARCH, regime switching, Bayesian inference
duration, high frquency data, liquidity, market microstructure
Multivariate skew density, multivariate student density, multivariate GARCH models, Value-at-Risk
foreign exchange market, volatility, news announcements, high frequency data
Multivariate point process, latent factor, transaction durations, efficient importance sampling
Duration and transition model, High frequency data, Market microstructure
Duration, Hazard function, Market microstructure, Latent variable model
GARCH, persistence, volatility components, value-at-risk, expected shortfall
GARCH, Markov-switching, Bayesian inference
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: ectj.pdf Size: 490K
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Duration model, overdispersion, autocorrelation function, high frequency financial data
Numerical integration, simulation, dynamic discrete choice, stochastic volatility, finire mixtures
Duration processes, transactions data, intra-day financial markets, density forecast evaluation
Optimal portfolio selection, Value-at-Risk, GARCH models, Foreign exchange markets
ACD, trade durations, high frequency data, Tokyo Stock Exchange
auctions, pre-sale price estimate, unbiasedness
Exchange rate volatility, log-linear analysis, mixture of distribution hypothesis
Exchange Rate Volatility, General to Specific, Forecasting
Bayesian inference, Simulation, GARCH, Markov-switching model, Change-point model, Marginal likelihood, Particle MCMC
Bayesian inference, Clustering, GARCH, Gibbs sampling, Mixtures
multivariate volatility modeling, dynamic conditional correlations (DCC), non-scalar DCC models, constrained optimization, Bregman divergences, Bregman-proximal trust-region method.
Disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing
Latent variables, disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing
stochastic conditional duration, importance sampling
Bayesian inference, dynamic regression model, prior distributions, MCMC methods
Forecasting, change-points, Markov switching, Bayesian inference
Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference
Finite mixture, ML estimation, Bayesian inference, Value at Risk.
File name: ectj.pdf Size: 751K
forecasting, long memory process, structural break, HAR model
Volatility, Markov-switching, Persistence, Leverage effect
Dynamic conditional correlations, Markov switching, Minimum variance portfolio, Model confidence set, Forecasting
realized covariance, component dynamic models, MIDAS, minimum variance portfolio, Model Confidence Set, Value-at-Risk
Realized covariance, dynamic component models, multi-step forecasting, iterative algorithm
Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures
Bayesian Inference, MCMC, Structural Breaks, Recurrent Regimes, Marginal Likelihood, GARCH, Forecasting
ARMA, Bayesian inference, Dirichlet process, Forecasting
Bayesian inference, BIC, change-point model, structural break, marginal likelihood
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
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
File name: ECTJ.pdf Size: 0K
Bayesian inference, GARCH, Gibbs sampler, Monte Carlo, Option pricing
Bayesian inference, GARCH, Gibbs sampler, Monte Carlo, Option pricing.
Forecasting, Structural Breaks, Change Points, Markov Switching, Bayesian Inference
