We focus on returns defined as log-price differentials and generated by a diffusion process which incorporates stochastic volatility and jumps in prices. The jumps are properly compensated for this model. The stochastic volatility follows the well-known CIR process. We present general...

In modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie...