The Wishart Autoregressive (WAR) process is a multivariate process of stochastic positive definite matrices. The WAR is proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any horizon and has factor representation, which separates...

This paper introduces new dynamic quantile models called the Dynamic Additive Quantile (DAQ) model and Quantile Factor Model (QFM) for univariate time series and panel data, respectively. The Dynamic Additive Quantile (DAQ) model is suitable for applications to financial data such as univariate...

The paper investigates the pricing of derivative securities with calendar-time maturities.

This paper introduces a notion on nonlinear innovation for the ananlysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of nonlinear innovations.