We introduce a novel estimator of the quadratic variation that is based on the theory of Markov chains. The estimator is motivated by some general results concerning filtering contaminated semimartingales. Specifically, we show that filtering can in principle remove the effects of market...

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices.  We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading.  It is the first...

The Granger representation theorem states that a cointegrated vector autoregressive process can be decomposed into four components: a random walk, a stationary process, a deterministic part, and a term that depends on the initial values. In this paper, we present a new proof of the theorem. This...

In recent years it has been suggested that employment could be promoted through subsidies or tax concessions to those parts of the consumer service sector which compete most directly with services produced in the home and in the black market. This paper sets up a computable general equilibrium...

The Johansen-Granger representation theorem for the cointegrated vector autoregressive process is derived using the companion form. This approach yields an explicit representation of all coefficients and initial values. This result is useful for impulse response analysis, common feature analysis...

Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can therefore be di cult to interpret, particularly when several values of...

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...