In this paper we propose two test statistics for testing serial correlation in semiparametric time series model that could allow lagged dependent variables as explanatory variables .

The Yule-Walker estimator is commonly used in time-series analysis, as a simple way to estimate the coefficients of an autoregressive process. Under strong assumptions on the noise process (i.i.d. or martingale difference), this estimator possesses the same asymptotic properties as the Gaussian...

We consider truncated processes, both in discrete and continuous time, and study their dynamic properties. When the underlying process is a diffusion process, we derive the infinitesimal generator of its truncated counterpart. This result is the basis for the estimation of the drift and...

In this paper, we describe and compare three methods that can be used in forecasting chaotic time series. We simulate four well known chaos and apply the methods developed here. We discuss the existence of measure noise and structural noise and their impact on predictions. Particular attention...

This paper studies a classical extension of the Black and Scholes model for option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties.

This paper presents the long memory Gegenbauer process which allows to take into account the periodic behaviour of a time series with long-range dependence. The authors investigate the pseudo-maximum likelihood Whittle's method to estimate simultaneously all the parameters of the Gegenbauer model.

In recent years, there has been increasing interest in nonparametric bootstrap inference for economic time series. Nonparametric resampling techniques help protect against overly optimistic inference in time series models of unknown structure. They are particularly useful for evaluating the fit...

There is a widespread tendency in the applied time series literature to interpret rejections of the unit root null hypothesis in favor of a trend stationary process with possible trend breaks as evidence that the data are better characterized as stationary about a broken trend. This...

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behavior of the real exchange rate. The main contribution of this paper is a general framework in which alternative...