Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed … for the estimation of a joint system of short-run and medium run investor sentiment and asset price dynamics using German …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to …

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations …-of-the-art realized correlation estimators which I then use to testing for normality, long-memory, asymmetries and jumps and also to … modeling for jumps. Jumps are detected when the realized correlation is higher than 0.99 and lower than 0.01 in absolute values …