Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when some data points are missing. This note proposes a method for coping with this problem

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

A time-series basis decomposition and trend extraction technique known as Empirical Mode Decomposition (EMD), designed for multi-scale time-frequency decomposition in non-stationary time-series settings, will be combined with Regularised Covariance Regression (RCR) methods to produce a framework...

We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972-2006 using monthly EREIT returns, and comparing volatility performance for quot;earlyquot; Equity REITs 1972-1992 with that of quot;modernquot; EREITs 1993-2006. Consistent with...

We propose a simulated maximum likelihood estimator (SMLE) for general stochastic dynamic models based on nonparametric kernel methods. The method requires that, while the actual likelihood function cannot be written down, we can still simulate observations from the model. From the simulated...

The persistence of the forward premium has been cited both as evidence of the failure of the unbiasedness hypothesis and as rationale for the forward premium anomaly. Exploring the nature of this may provide useful insights into issues of market efficiency. This paper examines the proposition...

The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Frechet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for...

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called quot;Constant Proportion Portfolio Insurancequot; (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method...

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity and existence of long memory in the volatility of stock...

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local estimation blocks, our theory treats the...