In this paper we estimate the term structure of daily UK interest rates using more flexible continuous time models. The multivariate CKLS framework is employed for dynamic estimation and forecasting of four classical models over the eventful period of 2000-2013. The extensions are applied in two...

Contemporaneous inference from economic data releases for policy and business decisions has become increasingly relevant in the high pace of the information age. The released data are typically filtered to eliminate seasonal patterns to reveal underlying trends and cycles. The nature of economic...

This paper considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation-based methods to address key challenges in parameter estimation, the filtering of time-varying volatility, and...

The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....

In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...