This paper is a continuation of our earlier studies on short-term price forecasting of California electricity prices with time series models. Here we focus on whether models with heavy-tailed innovations perform better in terms of forecasting accuracy than their Gaussian counterparts....

The aim of this work is to estimate the relationship between tariff barriers and trade growth at the world level applying a long-term approach and comparing different trade regimes. At the same time it aims at giving useful insights to assess the effectiveness of the current multilateral trading...

Nonnegativety constraints on the parameters of the GARCH (p, Q) model may be relaxed without giving up the requirement of the conditional variance remaining non- negative with probability one. This paper looks into the consequences of adopting these less severe constraints in the GARCH (2,2)...

In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH (p, q) process is given as well as an expression for the moment itself. Furthermore, the autocorrelation function of the centred and squared observations of this process is...

The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has previously been done empirically. In this paper the same issue...

There is a disagreement on the concept, definition and application of the paradigm of sustainable development. The definition that has been accepted by many involves several components, and it is difficult to measure or quantify indicators. Depending on the structure of the economy, it is...

This paper considers the moments of a family of first-order GARCH processes. First, a general condition of the existence of any integer moment of the absolute values of the observations is given. Second, a general expression for this moment as a function of lower-order moments is derived. Third,...

In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered. Conditions for the existence of any arbitrary unconditional moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of squared observations are...

This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate...

Time-series analysis of effects of pollutants on emergency hospital admissions indicates important synergistic interactions among pollutants and to a lesser degree nonlinearities in effects of single pollutants. Comparisons of alternative econometric specifications are made to determine the...