We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211–50). We construct a Gibbs sampler algorithm to compute ...

Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent ...

Robust inference in time series analysis is concerned with developing statistical methods that remain valid under departures from standard model assumptions, such as the presence of heteroskedasticity ...

Financial econometrics is a dynamic discipline that applies advanced statistical and econometric methods to the analysis of financial markets. It integrates time series, panel data and cross‐sectional ...