Volatility models have been extensively used in risk modeling especially GARCH models under the normal distribution. Although they generate highly significant coefficient estimates, these models are known to have poor forecasting power. It is therefore interesting to develop a different approach...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

This paper analyses the statistical behavior of the US dollar, against nine different currencies, over the float period, with a monthly data set. The martingale hypothesis is rejected for all currencies. However, all currencies have a unit root. There is overwhelming evidence for significant...

A new simple formula is found to correct the underestimation of the standard deviation for total lead time demand when using simple exponential smoothing. This new formula allows one to see readily the significant size of the underestimation of the traditional formula and can easily be...

Procedures for estimating a linear single-equation model by means of panel data with errors-in-variables are considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods. The differenced equations can be estimated by using as...

This paper takes a computationnaly simple LS approach to develop a more efficient estimation procedure, which we call Residual Augmented Least Square (RALS), than OLS when the errors are not normally distributed. The efficiency gain is from manipulating the higher moment conditions implied by...

This paper considers the question of the symmetry of inflation and GDP shocks between the UK and the three major European EMU countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a complete time varying correlation matrix for these four...

Let X1,X2,...Xn be i.i.d. N-dimensional random variables having an unknown support of probability density denoted G; we suppose that G belongs to a functional class "g" of compact sets with smooth upper surface called boundary fragments. The problem consists in testing the hypotheses G=Go...

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control...

We propose estimators for the parameters of a linear median regression without any assumption on the shape of the error distribution including no condition on the existence of moments allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous distributions, and very...