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We develop Bayesian Markov chain Monte Carlo methods for inferences of continuoustime models with stochastic volatility and infinite-activity Levy jumps using discretely sampled data. Simulation studies show that (i) our methods provide accurate joint identification of diffusion, stochastic volatility, and Levy jumps, and (ii) affine jumpdiffusion models(More)
While controversy surrounds skewness attributes of typical yield distributions, a better understanding is important for agricultural policy assessment and for crop insurance rate setting. Day (1965) conjectured that crop yield skewness declines with an increase in low levels of nitrogen use, but higher levels have no effect. In a theoretical model based on(More)
Markov processes are used in a wide range of disciplines including finance. The transitional densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available especially for Lévy driven processes. We propose an empirical likelihood approach for estimation and model specification test based on(More)
We develop a continuous-time regime-switching model for the term structure of interest rates, in which the spot rate follows the Taylor rule, and government bonds at different maturities are priced by no-arbitrage. We allow the coefficients of the Taylor rule and the dynamics of inflation and output gap to be regime-dependent. We estimate the model using(More)
the nucleus marks diminutive. Pingding infixation not only creates onset clusters but also introduces a phoneme. Both features are otherwise not found elsewhere in the language. We argue that the infix -, which is cognate with the diminutive -r suffix in other Mandarin dialects, is the result of rhotic metathesis (cf. Blevins and Garrett (1998)). This study(More)
Lévy processes have been receiving increasing attention in financial modeling. One distinctive feature of such models is that their characteristic functions are readily available. Inference based on characteristic functions is very useful for studying Lévy processes. By incorporating the recent advances in nonparametric approaches, empirical likelihood(More)
We provide the option pricing formula of the SV-DEJ model as follows. Following the assumptions in Yu, Li and Wells (2011), we let γ (1) t = η svt and γ t = − 1 √ 1−ρ2 (ρη+ η v σv ) √ vt, where η s and η are the market prices of risk. Then there exists a risk-neutral measure Q under which W (1) t (Q) and W (2) t (Q) are standard Brownian motions: dW (i) t(More)
In this article, we consider an imputation method to handle missing response values based on semiparametric quantile regression estimation. In the proposed method, the missing response values are generated using the estimated conditional quantile regression function at given values of covariates. We adopt the generalized method of moments for estimation of(More)