This paper examines a flexible way to model empirically discrete data outcomes using hazard rate decompositions. It presents a general data-generating mechanism based on...

This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the...

The standard approach to modelling primary commodity markets under rational expectations is to relate the commodity price to the production and consumption surprises (i.e. the...