The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...

This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher‐order...

We prove that multifractal functions, characterized by their wavelet representation can be estimated in the white noise model by a Bayesian estimation method. We give rates of convergence for two different models. Further, we study empirical methods for estimating the hyperparameters of the...

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity and existence of long memory in the volatility of stock...

Taking into consideration the specifics of the Russian economy such as dependency on oil and gas drilling & production, and including the current context of the Western sanctions, COVID-19 pandemic, as well as somewhat idiosyncratic potential output development, the main aim of this paper is to...

Projecting the course of infectious diseases and assessing the likely impact of policies to contain them require reliable estimates of the parameters in dynamic models of disease transmission. However, such estimation is difficult, especially for emerging diseases such as COVID-19, due to...

This paper examines a model of short-term interest rates that incorporates stochastic volatility as an independent latent factor into the popular continuous-time mean-reverting model of Chan et al. (1992). I demonstrate that this two-factor specification can be efficiently estimated within a...

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

This article presents a state-space representation known as parameters as states (PASTA) for linear market response models with time-varying parameters. The PASTA representation enables (a) conversion of the problem of estimating the time-varying effectiveness of marketing interventions from a...