We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...

We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and six frequencies to let data reveal the correct,...

When alternatives are compared using an estimated criterion function, this may introduce a discrepancy between the true and the estimated criterion. In this paper, we consider a situation where a preordering (ranking) of stochastic sequences is defined from expected loss/gain, using a parametric...