This paper provides an insight to the time-varying dynamics of the shape of the distribution
of financial return series by proposing an exponential weighted moving average (EWMA) …

Traditional quantitative credit risk models assume that changes in credit spreads are
normally distributed but empirical evidence shows that they are likely to be skewed, fat …

Abstract § GARCH option pricing models have the advantage of a well-established
econometric foundation. However, multiple states need to be introduced as single state …

The Markov switching GARCH model offers rich dynamics to modelling financial data.
Estimating this path dependence model is a challenging task because exact computation of …

In this manuscript, I investigate the time-varying volatilities and co-volatilities in the fixed
income and equities market using jump augmented stochastic volatility models. The results …