Building models for high dimensional portfolios is important in risk management and asset allocation.  Here we propose a novel and fast way of estimating models of time-varying covariances that overcome an undiagnosed incidental parameter problem which has troubled existing methods when applied...

The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found...

Australia has one of the more volatile set of export prices among OECD countries. This paper examines the extent to which Australia's export prices relate to the world prices using quarterly time-series data spanning the period 1969q4-2002q3. The empirical results based on dynamic least squares...

En los primeros meses de 1982, Robert Engle revolucionaba el estudio de los modelos de volatilidad ampliando al campo de las estructuras cuadráticas las ya muy utilizadas pautas de la metodología Box- Jenkins, creadas en 1976. Desde entonces, se han escrito multitud de aportaciones sobre las...

The predictability of long time series of stock index levels and stock prices is investigated using both statistical and trading rule methodologies. The trading rule analysis uses a double moving-average rule and the methods of Brock, Lakonishok and LeBaron. Results are obtained for the FTA,...

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...

By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some...