In this paper we discuss two methods for the estimation of linear dynamic factor models. The first method is behavioural in nature and consists of the least squares approximation of the observed data by means of a linear system. The second method is based on the statistical concept of principal...

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 will discuss a general framework for single item inventory models based on the theory of regenerative processes. After presenting without proof the main theorems for regenerative processes we analyze in detail how the different single item models can be embedded within this...

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...