robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

This paper applies a novel bootstrap method, the kernel block bootstrap, to quasi-maximum likelihood estimation of … model illustrates the efficacy of the kernel block bootstrap for quasi-maximum likelihood estimation. …

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …

We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected …

We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …

The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive … a general parametric or semiparametric model to conditional volatility and then testing the implied restrictions on … parameters or curves. We propose an alternative way of testing this hypothesis using realised volatility as an alternative direct …

provide a comprehensive treatment of its use for GMM estimation and inference in time-series models formulated in terms of …