This paper investigates the dynamic behaviour of jumps in financial prices and volatility. The proposed model is based on a standard jump diffusion process for price and volatility augmented by a bivariate Hawkes process for the two jump components. The latter process speci.es a joint dynamic...

This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used to produce the bootstrap draws are captured by an...

This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory fractionally integrated processes. The bootstrap method is based on the semi-parametric sieve approach, with the dynamics in the long memory process captured by an autoregressive...

A new approach to inference in state space models is proposed, based on approximate Bayesian computation (ABC). ABC avoids evaluation of the likelihood function by matching observed summary statistics with statistics computed from data simulated from the true process; exact inference being...

In this paper we quantify the impact of model mis-specification on the properties of parameter estimators applied to fractionally integrated processes. We demonstrate the asymptotic equivalence of four alternative parametric methods: frequency domain maximum likelihood, Whittle estimation, time...

This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve boot-strap to data pre-filtered by a preliminary semi-parametric...

This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory fractionally integrated processes. The bootstrap method is based on the semi-parametric sieve approach, with the dynamics in the long memory process captured by an autoregressive...

A new class of option price models is developed and applied to options on the Australian S&P200 Index. The class of models generalizes the traditional Black-Scholes framework by accommodating time-varying conditional volatility, skewness and excess kurtosis in the underlying returns process. An...

A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. The sampling...

In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Posterior densities for all model parameters, latent volatilities and the market price of volatility risk are produced via a hybrid...