In this note we propose a general testing procedure for parametric models based on Bartlett Identities.

In this note we propose a general testing procedure for parametric models based on Bartlett Identities. A well-known example is the Information Matrix test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequenceof testable restrictions on the data...

We present an estimation procedure for continuous time models based on discrete sampled data with a fixed unit of time between two observations. Since in general the conditional likelihood of the model cannot be derived an indirect inference procedure based on simulations of a discretized model...

Exponential smoothing (ES) with ARCH (autoregressive conditionally heteroscedastic) and GARCH (generalized ARCH) errors are introduced. This is done for a large class of ES methods, those for which the forecasts are obtained using a set of additive updating formulas, and also those for which an...

The recent financial literature has been much concerned with the short-term interest rate. Several models have been proposed and studied quite extensively. Despite the number of models, relatively little is known about their empirical comparison. A first approach of this problem is proposed in...