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...

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...

Consider a class of power transformed and threshold GARCH(p,q) (PTTGRACH(p,q)) model, which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa (2004) and includes the standard GARCH model and many other models as special cases. We ¯rst establish...