Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a univariate or multivariate framework. To illustrate,...

The following appendices have been prepared by a team of subject-matter experts at theSchool of Public Policy at George Mason University (GMU) under a contract with thePostal Regulatory Commission (PRC).Section 702 of the Postal Enhancement and Accountability Act (PAEA) required thePostal...

This paper proposes a new kind of asymmetric GARCh where the conditional variance obeys two different regimes with a smooth transition function. In one formulation, the conditional variance reacts differently to negative and positive shocks while in a second formulation, small and big shocks...

The generalised method of moments (GMM) is combined with the nonparametric estimation of the instrument matrix to obtain an easily computable estimator for the panel probit model. It is based on the specification of the conditional mean of the binary dependent variable in each period, and...