The aim of this paper is to examine the application of measures of persistence in a range of time-series models nested in the framework of Cramer (1961). This framework is a generalization of the Wold (1938) decomposition for stationary time-series which, in addition to accommodating the...

A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time-varying volatility in returns are considered, with...