We consider the stochastic volatility model with smooth transition and persistent la-tent factors. We argue that this model has advantages over the conventional stochasticmodel for the persistent volatility factor. Though the linear filtering is widely usedin the state space model, the...

I consider continuous time asset pricing models with stochastic differential utilityincorporating decision makers' concern with ambiguity on true probability measure.In order to identify and estimate key parameters in the models, I use a novel econometricmethodology developed recently by Park...

In this paper I derive the asymptotics of the exact, Euler, and Milstein MLestimators for diffusion models, including general nonstationary diffusions. Thoughthere have been many estimators for the diffusion model, their asymptotic propertieswere generally unknown. This is especially true for...

U.S. Treasury Securities are crucially important in many areas of finance. However, zero-coupon yields are not observable in the market. Even though published zero-coupon yields exist, they are sometimes not available for certain research topics or for high frequency. Recently, high frequency...

We consider ARCH processes with persistent covariates and provide asymptotic theories that explain how such covariates affect various characteristics of volatility. Specifically, we propose and study a volatility model, named ARCH-NNH model, that is an ARCH(1) process with a nonlinear function...