This paper analyses multivariate high frequency financial data using realized covariation.
We provide a new asymptotic distribution theory for standard methods such as regression …

This paper looks at some recent work on estimating quadratic variation using realized
variance (RV)—that is, sums of M squared returns. This econometrics has been motivated by …

This paper is a survey of estimation techniques for stationary and ergodic diffusion
processes observed at discrete points in time. The reader is introduced to the following …

Distributions that have tails heavier than the normal distribution are ubiquitous in finance.
For purposes such as risk management and derivative pricing it is important to use relatively …

In this paper, we study the detailed distributional properties of integrated non‐Gaussian
Ornstein–Uhlenbeck (intOU) processes. Both exact and approximate results are given. We …

Estimates of both the human impact on climate as well as the economic impacts of climate
change are crucial to inform policy decisions. Econometric modelling allows us to quantify …

We consider the relation between the volatility implied in an option's price and the
subsequently realized volatility. Earlier studies on stock index options have found biases …

Inference is considered in the multivariate continuous time Gaussian Ornstein-Uhlenbeck
(OU) model on the basis of observations in discrete time. Under the hypothesis of ergodicity …

It is well known that the finite‐sample properties of tests of hypotheses on the co‐integrating
vectors in vector autoregressive models can be quite poor, and that current solutions based …

Strong consistency and asymptotic normality are established for the quasi-maximum
likelihood estimator for a class of ARCH (q) models. The conditions are that the ARCH …