Browsing by Subject "Stochastic volatility"
Now showing items 1-3 of 3
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Bayesian Multiregression Dynamic Models with Applications in Finance and Business
(2015)This thesis discusses novel developments in Bayesian analytics for high-dimensional multivariate time series. The focus is on the class of multiregression dynamic models (MDMs), which can be decomposed into sets of univariate ... -
Macro Announcement Disagreement with Jump Regressions
(2021)This dissertation consists of two main essays in which it extends our knowledge on how stock market investors process the information from macro announcements. In the first essay, we extend the existing econometric theory ...
