In this paper we consider empirical econometric models for nine brands of a fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, promotion activities. Since the data show nonstationary characteristics, we...

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliners (AO's). We show analytically that both the asymptotic size and power are adversely...

We investigate whether US bank holding company fundamental characteristics are related to bank risk over a period that covers the recent 2007–09 financial crisis. We extend prior studies to consider bank equity risk exposure to market-wide default risk, the structured finance market, and the...

In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently been proposed in literature, while the fifth model is a new one. All five models allow for switching persistence of shocks, depending on the value and/or sign of recent returns....

In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis.

Official forecasts of international institutions are never purely model-based. Preliminary results of models are adjusted with expert opinions. What is the impact of these adjustments for the forecasts? Are they necessary to get 'optimal' forecasts? When model-based forecasts are adjusted by...

Many current seasonally adjusted level data are based on Census-X-11-type moving average filters applied to past and forecasted log-transformed observations, which is usually called the Census-X-11 ARIMA method. The forecasts are often generated from seasonal ARIMA models for the log-transformed...