“...This paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance...”

“...¿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...”

“...This paper formulates a new dynamic model for the variance risk premium based on a state space representation of a bivariate system for the observable ex-post...”

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

“...In this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value-at-Risk (VaR) of a portfolio with arbitrary...”

“...This article proposes a new nonparametric test for conditional independence that can directly be applied to test for Granger causality. Based on the comparison...”

“...When it comes to individual stock option pricing, most applications consider a univariate framework. From a theoretical point of view this is unsatisfactory as...”

“...Abstract To match the stylized facts of high frequency financial time series precisely and parsimoniously, this paper presents a finite mixture of conditional...”

“...Nowcasting concerns the inference on the current realization of random variables using information available until a recent past. This paper proposes a...”

“...Change-point models are useful for modeling time series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly...”