I develop a new method for approximating and estimating nonlinear, non-Gaussian state space models. I show that any such model can be well approximated by a discrete-state Markov process and estimated using techniques developed in Hamilton (1989). Through Monte Carlo simulations, I demonstrate...

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...