This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...

We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact of incidental large observations. Applying our...

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...