In this paper I propose a novel optimal linear filter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is different from other linear filters...

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...

In this paper, I propose an extension to the class of semiparametric time series models by incorporating a weight function to allow for smooth transitions between a linear autoregressive and a nonparametric component. The weight function and nonparametric component may depend on auxiliary...

A generalization of the exponential smoothing (ES) model is proposed by making two new assumptions about the form that the ES forecast function takes. First, the smoothing coefficient is made a function of (possibly a lag of) the observed time series and, second, the one-step ahead forecast is...