This study provides new mechanisms for identifying and estimating explosive bubbles in mixed-root panel autoregressions with a latent group structure. A post-clustering approach is employed that combines a recursive $k$-means clustering algorithm with panel-data test statistics for testing the...

This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model distinguishes various forms of unstable and explosive...

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time...

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu and Yu (2010) and provide a technology for identifying bubble behavior and consistent...

A new methodology is proposed to estimate theoretical prices of financial contingent claims whose values are dependent on some other underlying financial assets. In the literature, the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is...

A new methodology is proposed to estimate theoretical prices of financial contingent claims whose values are dependent on some other underlying financial assets. In the literature, the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is...

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu and Yu (2010) and provide a technology for identifying bubble behavior and consistent...

We find ourselves very much in agreement with the thrust of HL’s message concerning the complexity induced by microstructure noise. In particular, we agree that noise is time dependent and correlated with the efficient price - features that in our view are a necessary consequence of the...

Our comments on Fan’s paper will concentrate on two issues that relate in important ways to the paper’s focus on misspecification and discretization bias and the role of nonparametric methods in empirical finance.

This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the...