The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behavior of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood...