A volatility model must be able to forecast volatility; this is the central requirement in almost all financial applications. In this paper we outline some stylized facts about volatility that should be incorporated in a model: pronounced persistence and mean-reversion, asymmetry such that the...

A simple modification of the volume balance equation of the IPARM model is presented to facilitate the use of variable inflow. Traditional approaches for estimating infiltration from advance and/or runoff have merely considered the constant or step inflow case. Whenever this assumption is...

This paper presents two generalisations of the existing cointegration analysis literature. Firstly, the problem of efficient estimation of vector error correction models containing I(1) exogenous variables is considered and the asymptotic distributions of the log-likelihood ratio statistics for...