In order to obtain exact distributional results without imposing restrictive parametric assumptions, various rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical...

This paper introduces nonlinear dynamic factor models for various applications related to risk analysis. Traditional factor models represent the dynamics of processes driven by movements of latent variables, called the factors. Our approach extends this setup by introducing factors defined as...

We consider truncated processes, both in discrete and continuous time, and study their dynamic properties. When the underlying process is a diffusion process, we derive the infinitesimal generator of its truncated counterpart. This result is the basis for the estimation of the drift and...