Most of the literature on testing ARCH models focuses on the null hypothesis of no-ARCH effects. In this paper, we consider the general problem of testing any possible set of coefficient values in ARCH models, which may be non-stationary, with Gaussian and non-Gaussian errors, as well as with...

We analyse a panel of 25 European-countries to provide novel estimates of monthly own-price, cross-price, and income elasticities of natural-gas-demand from 2005 to 2020. We find that: first, there is an European Standard Behaviour (ESB) with a strong-seasonal component. Second, we identify...

In this article we show how bias approximations for the quasi maximum likelihood estimators of the parameters in Generalized Autoregressive Conditional Heteroskedastic (GARCH)(p, q) models change when any number of exogenous variables are included in the mean equation. The approximate biases are...

The impact of economic factors on drug-related harms is difficult to predict, as different transmission mechanisms could operate simultaneously. Furthermore, this impact could be lagged in time and depend on the intensity of the economic shock. This study applies a timedynamic linear analysis,...

In this paper we provide simulation and theoretical results concerning the finite sample theory of QML estimators in ARCH models when we include an exogenous variable in the conditional variance equation. In this setting, we find theoretical and simulation support to suggest that if we consider...