type="main" xml:id="jtsa12092-abs-0001"It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do inference even for its simple cases. This article proposes a generalized...

Researchers have constantly asked whether stock returns can be predicted by some macroeconomic data. However, it is known that macroeconomic data may exhibit nonstationarity and/or heavy tails, which complicates existing testing procedures for predictability. In this paper we propose novel...

Time series of counts are commonly observed in real-world applications. The integer-valued ARCH(p) models are able to describe integer-valued processes and offer the potential to be widely applied in practice in future. This paper develops an asymptotic theory for (partial) autocorrelations of...

In this article, we study a new Laplace autoregressive model of order p- NLAR(p). Conditional least squares, weighted conditional least squares and maximum quasi-likelihood are used to estimate the model parameters. Comparisons among these estimates of the NLAR(2) model are given via simulation...

We develop an input-output methodology to estimate how Chinese exports affect the country’s total domestic value added (DVA) and employment for 1995 and 2002. Total DVA generated by exports is obtained by subtracting all direct and indirect imported intermediate goods from the gross value of...

We develop an input–output methodology to estimate how Chinese exports affected the country's total domestic value added (DVA) and employment in the years 2002 and 2007. For every US$1000 dollar of Chinese exports in 2007 (2002), DVA and employment are estimated to be US$591 (US$466) and 0.096...

Assume that S_{t} is a stock price process and Bt is a bond price process with a constant continuously compounded risk-free interest rate, where both are defined on an appropriate probability space P. Let y_{t} = log(S_{t}/S_{t-1}). y_{t} can be generally decomposed into a conditional mean plus...