penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be …

both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a … purpose of this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that … turning point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO …

This paper revisits inflation forecasting using reduced form Phillips curve forecasts, i.e., inflation forecasts using … persistence. Through a \textit{real-time} out-of-sample forecasting exercise we show that our model specification generally … provides superior one-quarter and one-year ahead forecasts for quarterly inflation relative to a whole range of forecasting …

This paper develops a return forecasting methodology that allows for instabil ity in the relationship between stock …, and for uncertainty about the inclusion of forecasting variables, and about the parameter values by em ploying Bayesian … from a passive buy-and-hold strategy to an active strategy based on a return forecasting model that allows for model and …

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based … the correct null hypothesis of no volatility change is rejected much too frequently. Applying the tests to standardized … residuals from an estimated GARCH model results in good size and reasonable power properties when testing for a single break in …

- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …