range of sampling frequencies a researcher is most likely to encounter that the usual in-fill asymptotics provide a poor … number of jumps. We show that this method consistently estimates the jumps and their indices as the sampling interval goes to …

Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

the post-war period. We estimate the growth rates consistent with a constant unemployment rate using time …-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …

range of sampling frequencies a researcher is most likely to encounter that the usual in-fill asymptotics provide a poor … number of jumps. We show that this method consistently estimates the jumps and their indices as the sampling interval goes to …