In this paper a new Bayesian approach is proposed to test a point null hypothesis based on the deviance in a decision-theoretical framework. The proposed test statistic may be regarded as the Bayesian version of the likelihood ratio test and appeals in practical applications with three desirable...

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, J., 1994. Limit of random measures associated...

Maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size and large cross section sample size asymptotics. This paper proposes a general, computationally inexpensive method of bias...

In this paper the correlation structure in the classical leverage stochastic volatility (SV) model is generalized based on a linear spline. In the new model the correlation between the return and volatility innovations is time varying and depends nonparametrically on the type of news arrived to...

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we obtain two expressions to approximate the bias of the least...

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time...

This paper develops a maximum likelihood (ML) method to estimate partially observed diffusion models based on data sampled at discrete times. The method combines two techniques recently proposed in the literature in two separate steps. In the first step, the closed form approach of Aït-Sahalia...