Federico Nardari

Overview

Federico Nardari is a financial economist (Arizona State University). His research focuses on Bayesian estimation of stochastic volatility models and interest rate models.

Key Contributions

• Chib-Nardari-Shephard (2002): Co-developed SVt and SVJt models with efficient 4- and 6-block Gibbs samplers; applied to S&P 500 (1962–1997); showed Student-t innovations outperform Gaussian-plus-jumps specifications.
• Chib-Nardari-Shephard (2006): Co-developed multivariate factor-SV model ($p=50$ series, $k=8$ factors) with reduced blocking MCMC and particle-filter-based Bayes factor comparison; applied to 10 international equity indices with superior covariance forecasting and VaR performance relative to MGARCH.

Related

• Stochastic Volatility
• Siddhartha Chib
• Neil Shephard