The structural modeling of open-high-low-close (OHLC) data contained within the candlestick chart is crucial to fnancial practice. However, the inherent constraints in OHLC data pose immense challenges to its structural modeling. Models that fail to process these constraints may yield results...

We exploit inequality restrictions on higher-order moments of the distribution of structural shocks to sharpen their identification. We show that these constraints can be treated as necessary conditions and used to shrink the set of admissible rotations. We illustrate the usefulness of this...