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Stochastic Volatility, Gibbs Sampler, BUGS, Heavy-tailed Distributions, Non-Gaussian Nonlinear Time Series Models, Leverage Effect

Financial bubbles, Crashes, Date stamping, Explosive behavior, Mildly explosive process, Subprime crisis, Timeline

Box-Cox Transformation, GARCH, EMM, Stochastic Volatility

Diffusion process, Poisson jump, Self-exciting, GMM, Jump clustering

Gaussian Estimation, Nonlinear Diffusion, Normalizing Transformation

Bayes factors, Leverage effect, Markov chain Monte Carlo, Nonlinear state space models, Quasi maximum likelihood

explosive root, irrational exuberance, mildly explosive process, Nasdaq bubble, periodically collapsing bubble, sup test, unit root test

Explosive root, irrational exuberance, mildly explosive process, Nasdaq bubble, periodically collapsing bubble, sup test, time-varying discount rate, unit root test

Model Selection, Bayesian Deviance, Model Complexity, MCMC, Leverage Effect, Jumps

Bias Reduction, Option Pricing, Bond Pricing, Term Structure of Interest Rates, Re-sampling, Estimation of Continuous Time Models

Empirical Characteristic Function, Stationary Processes, Gaussian ARMA Processes, Stable ARMA Processes

Maximum likelihood, Transition density, Discrete sampling, Continuous record, Realized volatility, Bias reduction, Jackknife, Indirect inference

Date-stamping strategy, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test

Affine asset pricing, Characteristic function, Numerical efficiency, Ricatti equations, Explicit and implicit methods, Ordinary differential equations, A-stability

Affine asset pricing, Characteristic function, Numerical efficiency, Ricatti equations, Explicit and implicit methods, Ordinary differential equations, A-stability

Maximum likelihood, Girsnov theorem, Discrete sampling, Continuous record, Realized volatility

Autoregression, Bias reduction, Dynamic panel, Fixed effects, Indirect inference

C11, C15, G12

Bias reduction, Bond pricing, Indirect inference, Option pricing, Simulation-based estimation

Extreme Events, Self-Excitation, Volatility Jump, Jump Clustering, Parameter Learning, Sequential Bayes Factor, Risk Management, Option Pricing, Volatility Forecasting

Bernoulli process, Brownian semimartingale, Flat trading, Quarticity function, Realized volatility

Unit root test, Mildly explosive process, Recursive regression, Size and power

Unit Root Test, Mildly Explosive Process, Recursive Regression, Size, Power

Bias, Diffusion, Euler approximation, Trapezoidal approximation, Milstein approximation