We consider N independent stochastic processes (Xj(t),t∈[0,T]), j=1,…,N, defined by a one-dimensional stochastic differential equation with coefficients depending on a random variable ϕj and study the nonparametric estimation of the density of the random effect ϕj in two kinds of mixed...

This paper presents an analysis of the basis target zone model, using data from three core EMS members. Recent research har argued that the model may not perform empirically as bad as previous investigation have suggested. In order to investigate this point, we first estimate the model by a...

This paper considers ML estimation of a diffusion process observed discretely. Since the exact loglikelihood is generally not available, it must be approximated. We review the most effcient approaches in the literature, and point to some drawbacks. We propose to approximate the loglikelihood...

There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV...

Using quarterly data for 56 new ethical-drug products launched between 1989 and 1996, we estimate the coefficients of a regression equation that has cumulative future sales beyond the forecast period as its dependent variable and third-quarter sales, post-launch product improvements and...

This paper provides a construction of a Fleming-Viot measure valued diffusion process, for which the transition function is known, by extending recent ideas of Gibbs sampler based Markov processes. In particular, we concentrate on the Chapman-Kolmogorov consistency conditions which allows a...

There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV...

Second-order diffusion process can not only model integrated and differentiated diffusion processes but also overcome the difficulties associated with the nondifferentiability of the Brownian motion, so these models play an important role in econometric analysis. In this paper, we propose a...