terms of returns and volatility, received much less attention. With the use of an econometric methodology, the paper aims to …

, both in terms of returns and volatility, is still a barren landscape. Using econometric methodology, the paper investigates … the reaction of five hospitality/tourism stock indices to 150 incidents depicting major Acts of Terrorism, "Acts of God …

allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the …-return replaced by the product of the volatility innovation and its lagged value. This local estimate of the first order … autocorrelation of volatility innovations acts as an indicator of the importance of the squared-return for volatility updating. When …

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain …

considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters … concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …