most citedProbabilistic Predictions of Option Prices with Modular Approximate Bayesian Inference

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econ.EM2025

A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage

Zheng Fan, Worapree Maneesoonthorn, Yong Song

We propose the Markov Switching Dynamic Shrinkage process (MSDSP), nesting the Dynamic Shrinkage Process (DSP) of Kowal et al. (2019). We revisit the Meese-Rogoff puzzle (Meese and…

econ.EM2024

Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns

Lin Deng, Michael Stanley Smith, Worapree Maneesoonthorn

Skew-t copula models are attractive for the modeling of financial data because they allow for asymmetric and extreme tail dependence. We show that the copula implicit in the skew-t…