Browsing by Subject "Stochastic volatility"
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(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 ...
(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 ...