Over the last twenty years or so the Dynamic Volatility literature has produced a wealth of univariateand multivariate GARCH type models. While the univariate models have been relativelysuccessful in empirical studies, they suffer from a number ofweaknesses, such as unverifiable...

The unit root revolution in time series modeling has created substantial interest in non-stationarity and its implications for empirical modeling. Beyond the original interest in trend vs.di¤erence non-stationarity, there has been renewed interest in testing and modeling structuralbreaks. The...

Most of empirical modeling involves the use of Ordinary Least Squares regression where the residuals are assumed normal, independent, and identically distributed. In finite samples, these assumptions becomes critical for accurate estimations, however, in macroeconomics in particular, these...