This paper presents identification and estimation results for a flexible state space model. Our modification of the …. We apply the identification and estimation method to the earnings dynamics of U.S. men using the Panel Survey of Income …

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …

method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

quantities based on long span data. Our estimation method makes use of the local stationarity. We establish asymptotic theory for …

A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the …, standard estimation methods for fully observed diffusion processes are employed, but with the filtered volatility process … replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility …