This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003) by way of a power transformation. It is...

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These...

This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in Jacod (1994) and Barndorff-Nielsen and Shephard (2002),...

We present a spatial map of the Italian House of Deputies during the XIII Legislature obtained by applying the Poole and Rosenthal methodology to roll call data. We estimate coordinates for almost all the 650 Deputies that were on the Houses floor at the time, and we aggregate them according to...

This paper describes a modification for the practical relevance of unit root tests for time series generated by linear stochastic difference equations with an explosive root.

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of MSV models is presented according to various categories,...

With the reduction of the working-age population and the increase of the population dependency ratio as the main characteristics of the demographic dividend having disappeared, China’s potential growth rate decreases. And our results suggest that demographic dividend contributed to nearly...

With the reduction of the working-age population and the increase of the population dependency ratio as the main characteristics of the demographic dividend having disappeared, China’s potential growth rate decreases. And our results suggest that demographic dividend contributed to nearly...