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

“...GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are...”

“...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...”

“...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 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...”

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