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 article empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the ...

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 ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Not so long ago there was a small debate here on FT Alphaville about the consequences of the Lehman collapse ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...