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In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of...
This article proposes a semiparametric two-factor term structure model based on a consol rate and the spread between a short rate and the consol rate. The diffusion functions in both the consol rate and spread processes are nonparametrically specified so that the model allows for maximal...
In this article we examine the structural stability of predictive regression models of U.S. quarterly aggregate real stock returns over the postwar era. We consider predictive regressions models of S&P 500 and CRSP equal-weighted real stock returns based on eight financial variables that display...
In this article we argue for a special case of the generalized hyperbolic (GH) family that we denote as the GH skew Student’s t-distribution. This distribution has the important property that one tail has polynomial and the other exponential behavior. Further, it is the only subclass of the GH...
This study applies the nonparametric estimation procedure to the diffusion process modeling the dynamics of short-term interest rates. This approach allows us to operate in continuous time, estimating the continuous-time model, despite the use of discrete data. Three methods are proposed. We...
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