We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the intensity parameter in the data...

This study aims at investigating the nature of the causal relationship between immigration and two macroeconomic indicators, GDP per capita and unemployment, in Greece using annual data spanning the period between 1980 and 2007. Procedures are used to endogenously identify structural breaks in...

This paper investigates model dynamics and risk premia in the short term market for crude oil futures. Stochastic volatility models, with and without jumps, are estimated using data on both futures and option prices. As an economic application we apply the estimated models to the pricing of...