The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research, and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it...

A new multivariate random walk model with slowly changing drift and cross-correlations for multivariate processes is introduced and investigated in detail. In the model, not only the drifts and the cross-covariances but also the cross-correlations between single series are allowed to change...