This paper studies the estimation of a semi-strong GARCH(1,1) model when it does not have a stationary solution, where semi-strong means that we do not require the errors to be independent over time. We establish necessary and su±cient conditions for a semi-strong GARCH(1,1) process to have a...

Longitudinal studies are often conducted to explore the cohort and age effects in many scientific areas. The within cluster correlation structure plays a very important role in longitudinal data analysis. This is because not only can an estimator be improved by incorporating the within cluster...

Longitudinal studies are often conducted to explore the cohort and age effects in many scientific areas. The within cluster correlation structure plays a very important role in longitudinal data analysis. This is because not only can an estimator be improved by incorporating the within cluster...

With rising trading volumes and increasing risks in securities transactions, the securities industry is making an effort to achieve straight through processing to shorten the trade lifecycle and minimize transaction risk. While attempting to shorten the settlement cycle, the trade information...