Analyze American and Brazilian stock market volatility using the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and correlating with energy prices.
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies
This paper introduces a new class of nonlinear models known as the Z-valued smooth transition GARCH model, designed to accommodate Z-valued time series that display asymmetric, nonlinear and highly pe
