We provide a feasible generalized least squares estimator for (unrestricted) multivariate GARCH(1, 1) models. We show that the estimator is consistent and asymptotically normally distributed under mild assumptions. Unlike the (quasi) maximum likelihood method, the feasible GLS is considerably...

Nowadays, the issue of predicting soil settlement has gradually become an important research area. The theory of predicting soil settlement under static load is comparatively mature, while the method of predicting soil settlement under dynamic loading is still at the exploratory stage. This...

It is shown that if cell weights may be calculated from the data the chance-corrected Zegers-ten Berge coefficients for metric scales are special cases of Cohen’s weighted kappa. The corrected coefficients include Pearson’s product-moment correlation, Spearman’s rank correlation and the...

The aim of this paper is to determine whether risk variables in particular interest rate and exchange rate play any important role in predicting sector price indices in the stock market. The stock market indices used include All-share index, banking index, insurance index, food and beverage...

The present study applies three time series models, namely, Grey-Markov model, Grey-Model with rolling mechanism, and singular spectrum analysis (SSA) to forecast the consumption of conventional energy in India. Grey-Markov model has been employed to forecast crude-petroleum consumption while...

The grey model GM(1,1), which is based on grey system theory, has become a powerful tool for the prediction problems in power systems. However, the prediction accuracy of grey model is unsatisfying when original data set shows great randomness. In this paper, in order to improve the prediction...