This paper investigates the likelihood and timing of housing tenure choice dynamics including both the initial transition to homeownership, and possible transitions back to rental tenure and to an additional owned home. This is done across the German Socio-Economic Panel (GSOEP) and the Panel...

It is commonly accepted that some financial data may exhibit long-range dependence, while other financial data exhibit intermediate-range dependence or short-range dependence. These behaviors may be fitted to a continuous-time fractional stochastic model. The estimation procedure proposed in...

This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized volatility, modeling time series and continuous-time models...

Cyclical components are analytically computed in a theoretical model of stochastic endogenous fluctuations and growth. Volatility is shown to depend on the speed of convergence of the cyclical component, the expected length of a cycle and on the altitude of the slump. Taxes affect these channels...

This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric estimation and testing of diffusion processes, nonparametric testing of parametric diffusion models, nonparametric...