The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) ap- proach models the inherent autocorrelation and dynamic...

The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly...

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...

In two recent papers, Granger and Ding (1995a, b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...

To keep yields non-negative in a quadratic Gaussian term structure model (QGTM), the short rate is represented by the quadratic form of the Gaussian state variables. The QGTM is among the most attractive candidate tools for analyzing yield curves for countries with low interest rates. However,...

Nonlinear regime switching models are becoming increasingly popular in recent applied literature, as they allow capturing state-dependent behaviors which would be otherwise impossible to model. However, despite their popularity, the specification and estimation of these type of models is...

Correlation in time series has recently recieved a lot of attentions. Its usage has been getting an important role in Social Science and Finance. For example, pair trading in Finance is interested with the correlation between stock prices, returns etc. In general, Pearsonís correlation...