In this paper we demonstrate that a jump diffusion model is better fitted to Japanese stock data in the Nikkei 225 than the classical Black–Scholes (BS) model. In order to check the existence of jumps, we implement the bipower test by Barndorff-Nielsen and Shephard [O.E. Barndorff-Nielsen, N....

It is well known that the distributions of assets returns have heavier tails than the Gaussian's. To capture such a distributional characteristic, the Generalized Hyperbolic(GH) distribution and its subclasses have been applied to assets returns as the distribution with heavier tails. GH...

Let {<bold>X</bold>(<italic>t</italic>)} be a multivariate Gaussian stationary process with the spectral density matrix <italic>f</italic>₀(ω), where θ is an unknown parameter vector. Using a quasi-maximum likelihood estimator <private-char>null</private-char> of θ, we estimate the spectral density matrix <italic>f</italic>₀(ω) by <italic>f</italic><private-char>null</private-char>(ω). Then we derive asymptotic expansions of...

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...