Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

well as in high resolution simulations.Our estimation procedure sits in between classic periodogram methods and atomic … resolve some open questions and expand existing results in spectral estimation literature …

We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings … cross-sectional dimensions, since estimation and inference are straightforward, as opposed to existing regime …