Statistical Foundations for Econometric Techniques by Asad Zaman. Pp. xxviS570. London: Academic Press, 1996. ($US 44.95 paper) Web Information: www.apnet.com/textbook/sbe/new9596/zaman.htm.

In economics, common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. For this reason, many authors have used estimated factors in the construction of prediction models. In this article, we begin by surveying the extant literature on diffusion indexes....

The challenge of modeling, estimating, testing, and forecasting financial volatility is both intellectually worthwhile and also central to the successful analysis of financial returns and optimal investment strategies. In each of the three primary areas of volatility modeling, namely,...

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a...

In the class of stochastic volatility (SV) models, leverage effects are typically specified through the direct correlation between the innovations in both returns and volatility, resulting in the dynamic leverage (DL) model. Recently, two asymmetric SV models based on threshold effects have been...

This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely, (i) the SV with leverage (SV-L) model, which is based on the negative correlation between the innovations in the returns and volatility, and (ii) the SV with leverage and size effect...

The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of MSV models is presented according to various...

The article discusses alternative Research Assessment Measures (RAM), with an emphasis on the Thomson Reuters ISI Web of Science database (hereafter ISI). Some analysis and comparisons are also made with data from the SciVerse Scopus database. The various RAM that are calculated annually or...

Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition α + β  1. The former has the usual unit root distribution and the latter is a...