A novel approach to the combination of volatility forecasts is discussed. The proposed procedure makes use of the generalized method of moments (GMM) for estimating the combination weights. The asymptotic properties of the GMM estimator are derived while its finite sample properties are assessed...

This paper evaluates the impact of fiscal incentives on firm performance in the Dominican Republic. In recent years, the Dominican government has approved several new corporate tax benefits. While the literature on value-added tax incentives is extensive, the impact of corporate tax incentives...

This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of...