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.

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...

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...

In this paper we extend the univariate periodic integration model to multivariate cointegrated time series. We analyze representation issues of a multivariate periodic model. We argue that simple adding an index s to the parameters in an otherwise nonperiodic Vector AutoRegression (VAR) leads to...

In this paper we analyze the sensitivity of unit root inference to nonlinear transformations through Bayesian techniques. We make joint inference about the Box-Cox transformation, which includes the cases yt and log(yt), and the unit root. When we apply our method to the fourteen Nelson-Plosser...