“...This paper extends the notion of self-excitation in jumps to a rich class of continuous time semimartingale models, proposes statistical tests to detect its...”

“...Recent research has emphasised that permanent changes in the innovation variance (caused by structural shifts or an integrated volatility process) lead to size...”

“...It is generally believed that the power of unit root tests is determined only by the time span of observations, not by their sampling frequency. We show that...”

“...We consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector autoregressions...”

“...Asymptotic likelihood analysis of cointegration in I (2) models (see Johansen, 1997, 2006; Boswijk, 2000; Paruolo, 2000) has shown that inference on most...”

“...The parsimonious Bass diffusion model is frequently used to forecast adoptions of new products and to compare the life cycles of specific products across...”

“...This paper proposes a class of Wald tests for the hypothesis of an unstable root in conditional error correction models. Both single-equation models and...”

“...This paper develops nonparametric specification tests for stochastic volatility models by comparing the nonparametically estimated return density and...”

“...This paper considers a semi-nonparametric cointegration test. The test uses the LM-testing principle. The score function needed for the LM-test is estimated...”

“...This paper studies asymptotic likelihood inference on cointegration parameters in systems integrated of order two. We start with so-called triangular systems...”