This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast...

Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are subject to not only to changes in demand, but also speculation regarding future markets. Japan and Singapore are the major future markets for rubber, while Thailand is one...

It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models, whether individually or as...