A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis...

In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...

In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such an equation. We now consider the case of multiplicative noise when the Gaussian process is a...

Just as ARMA processes play a central role in the representation of stationary time series with discrete time parameter, <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$(Y_n)_{n\in \mathbb {Z}}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mrow> <mo stretchy="false">(</mo> <msub> <mi>Y</mi> <mi>n</mi> </msub> <mo stretchy="false">)</mo> </mrow> <mrow> <mi>n</mi> <mo>∈</mo> <mi mathvariant="double-struck">Z</mi> </mrow> </msub> </math> </EquationSource> </InlineEquation>, CARMA processes play an analogous role in the representation of stationary time series with continuous time...</equationsource></equationsource></inlineequation>

In this paper a new bivariate distribution called Marshall–Olkin–Morgenstern-bivariate-Weibull distribution is introduced and studied. Two different models of minification processes with the above bivariate distribution as stationary marginal distribution are developed. It is shown that the...

We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

This paper computes Malawi's equilibrium real exchange rate as a function of its fundamentals as derived from economic theory. It finds evidence in favor of the equilibrium approach to exchange rate determination, with several variables (particularly government consumption and real per capita...

This paper studies a class of estimators for the variance parameter of a stationary stochastic process. The estimators are based on L_p norms of standardized time series, and they generalize previously studied estimators due to Schruben. We show that the new estimators have some desirable...

In analyzing the output process generated by a steady-state simulation, we often seek to estimate the expected value of the output. The sample mean based on a finite sample of size n is usually the estimator of choice for the steady-state mean; and a measure of the sample mean's precision is the...