We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

The Basel III Accord has reportedly had an impact on SME financing. In this paper, we aim to highlight the determinants of SME credit worthiness. We use credit history in addition to financial ratios and OhybridO indicators that have been built by mixing credit history with financial statement...

The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multivariate extension of such a model, by taking into...

The firms’ size distribution in the Italian Golden age has been described as a successful example of the adoption of the big business model which is characterized by large firms able to exploit the economies of scale of the modern technologies. Two main questions are present in literature: was...

Multiplicative Error Models (MEM) can be used to trace the dynamics of non- negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....