JSTOR Daily

Modelling Business Cycle Nonlinearity in Conditional Mean and Conditional Variance: Some International and Sectoral Evidence

This is a preview. Log in through your library . Abstract This paper tests for the presence of output mean and variance nonlinearities in international industrial production and UK and US sectoral ...
Simon Fraser University

Predicted Values

The AUTOREG procedure can produce two kinds of predicted values for the response series and corresponding residuals and confidence limits. The residuals in both cases are computed as the actual value ...
Harvard Business School

Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market

Engel, C., J. Frankel, Kenneth A. Froot, and T. Rodrigues. "Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market." Journal of Empirical Finance 2 (March 1995). (Revised from NBER ...
JSTOR Daily

Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates

This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...
Risk

Modeling overnight and daytime returns using a multivariate generalized autoregressive conditional heteroskedasticity copula model

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
Risk

Modeling overnight and daytime returns using a multivariate generalized autoregressive conditional heteroskedasticity copula model

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...