In this paper we develop an analysis of multivariate time series that exhibit reduced rank cointegration, implying that a lower dimensional linear projection of the process can be obtained in which the projected process becomes stationary. Detection of the rank and basis upon which to project...

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard...

We present a sequential Monte Carlo sampler variant of the partial rejection control algorithm introduced by Liu (2001), termed SMC sampler PRC, and show that this variant can be considered under the same framework of the sequential Monte Carlo sampler of Del Moral et al. (2006). We make...

In this paper, we develop novel Markov chain Monte Carlo sampling methodology for Bayesian Cointegrated Vector Auto Regression (CVAR) models. Here we focus on two novel exten sions to the sampling methodology for the CVAR posterior distribution. The first extension we develop replaces the...

In this paper we develop a class of applied probabilistic continuous time but discretized state space decompositions of the characterization of a multivariate generalized diffusion process. This decomposition is novel and, in particular, it allows one to construct families of mimicking classes...

Forecasting life expectancy and mortality are two important aspects for the study of demography. We demonstrate in this work that the existence of long memory in mortality data improves the understanding of mortality and the model incorporating a long memory structure provides a new approach to...

The Schwartz-Smith two-factor model (Schwartz & Smith, 2000) was commonly used in the pricing of commodity futures in the last two decades. In 2016, (Filipovic & Larsson, 2016) introduced a polynomial diffusion framework which allows a more complex struc- ture of spot price. This framework has...

We propose a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: The first, which we largely focus on, features a random quantile level and allows for direct interpretation...