The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous and discrete regressors under an unknown error density. The error density is approximated by the kernel density estimator of the unobserved errors, while the regression function...

This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...

Availability of high-frequency data, in line with IT developments, enables the use of Availability of high-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but also higher realized moments and the entire realized...

The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...

We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown, asymptotic distribution theory for estimates of parameters, including the...

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

In this paper, we study the kernel estimation of the copula density on unit square [0,1]X[0,1], and demonstrate the implementation of this methodology to equity and bond markets. There are two crucial problems associated with this estimator. First, the kernel estimator is biased at the...