This paper provides closed-form expansions for the transition density and likelihood function
of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose …

This article develops a dynamic model of retail competition and uses it to study the impact of
the expansion of a new national competitor on the structure of urban markets. In order to …

In this paper, we present conditions for identifying the generator of a linear stochastic
differential equation (SDE) from the distribution of its solution process with a given fixed …

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 …

Cointegration has shown useful for modeling non‐stationary data with long‐run equilibrium
relationships among variables, with applications in many fields such as econometrics …

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 …

In this paper we develop a new delta expansion approach to deriving analytical
approximation to the transition densities of multivariate diffusions using the Itô-Taylor …

In this paper, we provide a unified approach to simulate diffusion bridges. The proposed
method covers a wide range of processes including univariate and multivariate diffusions …

Electroencephalogram (EEG) is a popular tool for studying brain activity. Numerous
statistical techniques exist to enhance understanding of the complex dynamics underlying …

Using positive semidefinite processes of Ornstein-Uhlenbeck type a multivariate Ornstein-
Uhlenbeck (OU) type stochastic volatility model is introduced. We derive many important …