Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path...

The degree of substitution between private and public per capita consumption for the G7 countries is estimated over the period 1960 to 1996. Special attention is given to isolating both long-run and short-run substitution effects.

The concept of fractional cointegration, whereby deviations from an equilibrium relationship follow a fractionally integrated process, has attracted some attention of late. The extended concept allows cointegration to be associated with mean reversion in the error, rather than requiring the more...

The local linear trend and global linear trend models embody extreme assumptions about trends. According to the local linear trend formulation the level and growth rate are allowed to rapidly adapt to changes in the data path. On the other hand, the Glaobal linear trend model makes no allowance...

Influence diagnostics have become an important tool for statistical analysis since the seminal work by Cook (1986). In this paper we present a curvature-based diagnostic to access local influence of minor perturbations on the modified likelihood displacement in a regression model. Using the...

This paper develops a new methodology for identifying the structure of VARMA time series models. The analysis proceeds by examining the echelon canonical form and presents a fully automatic data driven approach to model specification using a new technique to determine the Kronecker invariants. A...