Price indices for heterogeneous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investment decisions in times of financial markets turmoil. Classical mean‐variance analysis of alternative investments has been...

It is now 20 years since the publication of Engle's (1982) seminal paper, which introduced ARCH to the world. The ARCH paper had an enormous influence on both theoretical and applied econometrics, and was influential in the establishment of the discipline of Financial Econometrics. In this paper...

This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is investigated, including the probability model, the time-varying parameter probability model, and the regression approach....

Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant research activity in analysing time-varying volatility through Generalized Autoregressive Conditional Heteroscedasticity...