Recent decades have seen a considerable expansion of global trade and a simultaneous decline in inflation volatility. This paper investigates whether greater openness to trade helps achieve inflation stability. Using panel data for a sample of developing and industrial countries over the period...

GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...

This paper looks at some recent work on estimating quadratic variation using realised volatility (RV) - that is sums of M squared returns. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent estimator of quadratic variation (QV). We express...