“...This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and...”

“...We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student...”

“...This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their...”

“..."The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial...”

“...We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD) models. These models are based on the...”

“...¿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...”

“...Novel model specifications that include a time-varying long-run component in the dynamics of realized covariance matrices are proposed. The modelling framework...”