obtained from a vector random coefficient moving average process, and derives the stationarity and invertibility conditions …

models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …

stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in …

version as well as the ESTAR model, which has thus far been deemed the most appropriate nonlinear exchange rate model. …

and diffusion functions, the moments are shown to be exactly those of the true transitional density and for nonlinear … two moments of the distribution are approximately the true moments of the unknown transitional density. For affine drift …

Statistical population moments may be finite or infinite. Determining whether certain moments of a population are …-estimates, on the other hand, are above 2 for all stocks, indicating that the second moments do exist. This conflicting result is … real data are extremely unlikely for sum stables. These results confirm the existence of at least second moments. There is …

which the transitional density is a multivariate Gaussian density with first and second moments approximating the true … moments of the unknown density. For affine drift and diffusion functions, the moments are exactly those of the true … transitional density and for nonlinear drift and diffusion functions the approximation is extremely good and is as effective as …