This study delves into the critical aspect of accurately estimating single stock volatility surfaces, a task indispensable for option pricing, risk management, and empirical asset pricing. Utilizing a comprehensive dataset consisting of half a billion daily price observations for options on 499...

We consider parameter estimation for time-dependent locally stationary long-memory processes. The asymptotic distribution of an estimator based on the local infinite autoregressive representation is derived, and asymptotic formulas for the mean squared error of the estimator, and the...

In this paper, we propose a kernel-type estimator for the local characteristic function of locally stationary processes. Under weak moment conditions, we prove joint asymptotic normality for local empirical characteristic functions. For time-varying linear processes, we establish a central limit...

In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the...

This paper provides an example of several modeling and econometric advances used in the panel estimation of energy demand elasticities. The paper models the demand of total, industrial, and transport energy consumption and residential and commercial electricity consumption by analyzing US...

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares (CSS) estimator in fractional time series models. The models are parametric and quite general. The novelty of the consistency result is that it applies to an arbitrarily large set of admissible parameter...

The study uses a bivariate unobserved components model for output and the unemployment rate in order to examine stylised facts of the cyclical behaviour of unemployment and to estimate the size of persistence. The model is applied to the U.S., Canada, and major European economies. Estimates of...