Financial assets` quoted prices normally change through frequent revisions, or jumps. For markets where quotes are almost always revised by the minimum price tick, this paper proposes a new estimator of Quadratic Variation which is robust to microstructure effects. It compares the number of...

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing...

For financial assets whose best quotes almost always change by jumping by the market`s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump...

This paper studies the stability of nonlinear autoregressive models with conditionality heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity...

This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or `hidden`. Conditions under which geometric ergodicity of the unobservable component is inherited by the joint process formed of the two...

After a dramatic slowdown of the 1970s, productivity growth in UK manufacturing in the 1980s returned to something like its pre-slowdown trend. This paper constructs a quarterly dynamic model of TFP growth in UK manufacturing using cointegration techniques, correcting for a variety of...

We study the accuracy of a wide variety of estimators of asset price variation constructed from high-frequency data (so-called "realized measures"), and compare them with a simple "realized variance" (RV) estimator.  In total, we consider almost 400 different estimators, applied to 11 years of...

Inflation is a far from homogeneous phenomenon, a fact often neglected in modeling consumer price inflation.  Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates), are modeled separately and forecast,...

Inflation targeting central banks will be hampered without good models to assist them to be forward-looking.  Many current inflation models fail to forecast turning points adequately, because they miss key underlying long-run influences.  The world is on the cusp of a dramatic turning point in...

While there has been a great deal of interest in the modelling of non-linearities and regime shifts in economic time series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general approach to predict multiple time series subject to...