Multivariate continuous-time models have been playing important roles in finance and economics. We develop an omnibus specification test for multivariate continuous-time models using the conditional characteristic function, which often has a convenient closed form or can be accurately...

We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non-Gaussian independent and identically distributed structural shocks. We prove that in these models and un- der some regularity conditions the Wold innovations are a...

We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...

Empirical asset pricing studies evaluate and select risk factors solely based on their historical aggregate performance, implicitly assuming a time-invariant model specification, and overlooking potential time variations of specification in the stochastic discount factor (SDF) model. This paper...

We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non-Gaussian independent and identically distributed structural shocks. We prove that in these models and un- der some regularity conditions the Wold innovations are a...

Here, we use an input distance function approach to determine the shadow price of carbon dioxide (CO2), technical efficiency and potential for emission reductions of the industrial sectors of China and Korea, and impact of carbon trading on costs. Data from 20 industries in the manufacturing...