Unit roots in output, an exponential 2% rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that can not go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate shocks...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Unit roots in output, an exponential 2 per cent rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate...

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is as- sumed that the joint distribution of asset returns is characterized by a general factor...

This paper questions whether it is possible to derive consistency and asymptotic normality of the Gaussian quasi-maximum likelihood estimator (QMLE) for possibly the simplest multivariate GARCH model, namely, the multivariate ARCH(1) model of the Baba, Engle, Kraft, and Kroner form, under weak...

We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. It allows different degrees of dependence for the ?raw? series and for the ?squared? series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main...

Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and for any specification of the conditional second moment coefficients. GARCH(p,q) as well as the case of hyperbolically decaying coefficients are included, such as the...

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on the cross-sectional dependence properties of the...

Unit root in output, an exceptional 2% rate of convergence, and no change in the underlying dynamics of output seems to be three stylized facts that can not go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate shocks...

We discuss models that impart a form of long memory in raw time series xt or instantaneous functions thereof, in particular . on the basis of a linear or nonlinear model. The capacity of linear models for xt to imply long-memory in nonlinear functions of xt is discussed. Empirical observation...