This paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models, and nonparametric pricing of derivatives. For...

The classical Chow test for structural instability requires strictly exogenous regressors and a break-point specified in advance. In this paper, we consider two generalisations, the one-step recursive Chow test (based on the sequence of studentised recursive residuals) and its supremum...

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...