“...New parameterizations of the dynamic conditional correlation (DCC) model and of the regime-switching dynamic correlation (RSDC) model are introduced, such that...”

“...Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns and several studies have...”

“...This book contains an up-to-date coverage of the last twenty years of advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It...”

“...We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin...”

“...We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving average (ARFIMA) process subject to...”

“...We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic...”

“...¿We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching...”

“...We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/dollar return volatility. We highlight and analyze the...”

“...Using density forecast evaluation techniques, we compare the predictive performance of econometric specifications that have been developed for modeling...”