In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with the endemic time-varying volatility and codependence found in financial markets. Such dependence has been known for a long time, early comments include Mandelbrot (1963)...

In this paper we study the reliability of the mixed normal asymptotic distribution of realised variance error, which we have previously derived using the theory of realised power variation. Our experiments suggest that the asymptotics is reliable when we work with the logarithmic transform of...

This paper provides limit distribution results for power variation, that is sums of powers of absolute increments, for certain types of time-changed Brownian motion and $alpha $-stable processes. Special cases of these processes are stochastic volatility models used extensively in financial...

Limit distribution results on realised power variation, that is sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers,...

Parallel computation has a long history in econometric computing, but is not at all wide spread. We believe that a major impediment is the labour cost of coding for parallel architectures. Moreover, programs for specific hardware often become obsolete quite quickly. Our approach is to take a...

This paper reviews the need for powerful computing facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy to use generic software which is able to exploit the...

This is a draft Chapter from a book by the authors on “Levy Driven Volatility Modelsâ€.