We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce a time-varying parameter model that is capable of describing this behavior in time series data. Our proposed model can be used to predict the emergence, existence and burst of...

In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration model based on a continuous distribution omitting frequent zero values. Zero durations can be caused by either split transactions or independent transactions. We propose a...

We analyze the role of industrial and non-industrial production sectors in the US economy by adopting a novel multilevel factor model. The proposed model is suitable for high-dimensional panels of economic time series and allows for interdependence structures across multiple sectors. The...

We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...