Journal of Applied Econometrics, Vol. 20, No. 2, Recent Developments in Business Cycle Analysis (2005), pp. 253-274 (22 pages) The objective of this paper is to evaluate the effectiveness of using a ...

This paper investigates optimal futures hedge ratios in stock markets. We use univariate skewed t stochastic volatility (SV) models to capture the time-varying (TV) volatility of our data and set up ...

Capturing tail events, especially those that include the rare possibility of severe loss, is one of the important objectives of modern risk analysis. However, the past behavior of financial data is ...

In this work we consider multivariate autoregressions subject to Markovian changes in regime. Estimation methods and filtering techniques for such processes are well established in the literature as ...