Just as ARMA processes play a central role in the representation of stationary time series with discrete time parameter, <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$(Y_n)_{n\in \mathbb {Z}}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mrow> <mo stretchy="false">(</mo> <msub> <mi>Y</mi> <mi>n</mi> </msub> <mo stretchy="false">)</mo> </mrow> <mrow> <mi>n</mi> <mo>∈</mo> <mi mathvariant="double-struck">Z</mi> </mrow> </msub> </math> </EquationSource> </InlineEquation>, CARMA processes play an analogous role in the representation of stationary time series with continuous time...</equationsource></equationsource></inlineequation>

We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

We consider the incidental parameters problem in this paper, i.e. the estimation for a small number of parameters of interest in the presence of a large number of nuisance parameters. By assuming that the observations are taken from a multiple strictly stationary process, the two estimation...

This paper deals with the comparison of stationary processes with unequal sample sizes. We provide a detailed theoretical framework on a test for equality of spectral densities in the bivariate case, after which the generalization of our approach to the m-dimensional case and to other...

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

__Abstract__ Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The...

A threshold extreme value distribution for modeling standardized financial returns is investigated. The main theme is tail asymmetry, which means that the left and right tails of the standardized return distribution are not identical. The peak-over-threshold idea in extreme value theory is...

In this paper, we propose a flexible smooth transition autoregressive (STAR) model with multiple regimes and multiple transition variables. We show that this formulation can be interpreted as a time varying linear model where the coefficients are the outputs of a single hidden layer feedforward...