This paper tests the null hypothesis of endogenous growth theories which predict cross country differences in trend growth rates against the alternative hypothesis of exogenous growth theories which predict the same trend growth rates. We use the modified test procedure with heterogeneous...

The purpose of this paper is the theoretical and empirical comparison of alternative GARCH-in-mean models. We examine three GARCH specifications: Bollerslev's (1986) GARCH model, Taylor (1986) - Schwert's (1989) GARCH model, and Nelson's (1991) Exponential GARCH model. In addition, we employ...

This paper considers the moment structure of the ARMA(r,s)-EGARCH(p,q) model. In particular, we provide the autocorrelation function and any arbitrary moment of the conditional variance/squared errors. In addition, we derive the cross correlations between the process and the conditional...