Research Interests

Our main research interests are:

  • Financial time series analysis
  • High-frequency financial data analysis
  • Volatility forecasting: GARCH-like models
  • Long memory processes
  • Simulation-based estimation methods
  • Smooth transition models
  • Portfolio analysis
  • Term structure models
  • Financial risk management
  • Markov-switching models
  • Model Selection
  • Multi Model Inference