This paper introduces a concept of innovation for the analysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of such innovations. The residuals from nonlinear dynamic models axe used to construct various specification tests....

We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...

We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification problems or weak instruments, so no...

The purpose of the paper is to propose an autocorrelogram estimation procedure for irregularly spaced data which are modelled as subordinated continuous time series processes. Such processes, also called time deformed stochastic processes, have been discussed in a variety of contexts. Before...

We develop a class of ARCH models for series sampled at unequal time intervals set by trade or quote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed by Drost and Nijman (1993) and Drost and Werker (1994), and the autoregressive conditional...

Subordinated stochastic processes, also called time deformed stochastic processes, have been proposed in a variety of contexts to describe asset price behavior. They are used when the movement of prices is tied to the number of market transactions, trading volume or the more illusive concept of...