This paper consider whether the wide acceptance of ARCH models may be at the expense of other nonlinear processes, such as bilinear models. The authors first pose a joint test for ARCH and bilinearity. A nonnested test is then suggested. The tests are then applied to three series. When GARCH...

In applied econometrics, the authors tend to tackle specification problems one at a time rather than considering them jointly. This has serious consequences for statistical inference. One example of this is considering autocorrelation and autoregressive conditional heteroscedasticity separately....

A class of nonlinear autoregressive conditional heteroskedasticity models is suggested. The proposed class encompasses several functional forms for autoregressive conditional heteroskedasticity which have been put forth in the literature. A Lagrange multiplier test is developed to test Engle's...

It has been well documented that the consensus forecast from surveys of professional forecasters show a bias that varies over time. In this paper, we examine whether this bias may be due to forecasters having an asymmetric loss function. In contrast to previous research, we account for the time...

The presence of an underwriting profit cycle in property/liability insurance has become a stylized fact. Models of this "underwriting cycle" imply that the insurance market is governed by two regimes, as capacity is constrained or not. We apply the smooth transition regression model to insurance...