This paper provides an optimal filtering methodology in discretely observed continuous-time
jump-diffusion models. Although the filtering problem has received little attention, it is useful …

We propose using model‐free yield quadratic variation measures computed from intraday
data as a tool for specification testing and selection of dynamic term structure models. We …

We reconstruct the level-dependent diffusion coefficient of a univariate semimartingale with
jumps which is observed discretely. The consistency and asymptotic normality of our …

Using an extensive cross section of US corporate credit default swaps (CDSs), this paper
offers an economic understanding of implied loss given default (LGD) and jumps in default …

This paper studies nonstationarities in a panel of Canadian and US interest rates of different
maturities and risk. We focus on methods which model the cross‐sectional dependence …

Given the importance of return volatility on a number of practical financial management
decisions, the efforts to provide good real-time estimates and forecasts of current and future …

In this paper, new fully nonparametric estimators of the diffusion coefficient of continuous
time models are introduced. The estimators are based on Fourier analysis of the state …

This paper develops the asymptotics for nonparametric kernel estimators of local time, drift
and volatilities, and Lévy measure in jump diffusion models. Our asymptotics are developed …

This article investigates the effects of mortgage-backed security (MBS) hedging activity on
interest rate volatility and proposes a model that takes these effects into account. An …

This paper describes the evolution of the daily Euro overnight interest rate (EONIA) by using
several models containing the jump component, such as a single-regime ARCH-Poisson …