This paper is concerned with filtering for various types of time series models including the class of generalized ARCH models and stochastic volatility models. We extend the results of Thavaneswaran and Abraham (1988) for some time series models using martingale estimating functions. Nonlinear...

Heinen (2003) [CORE Discussion Paper 2003/62, Catholic University of Louvain] had studied the moment properties of the Autoregressive Conditional Poisson (ACP) model. In this paper, we extend Heinen's results to higher order ACP(p, q) models with p > 1 and q > 1.

This paper studies the problem of volatility forecasting for some financial time series models. We consider several stochastic volatility models including GARCH, Power GARCH and non-stationary GARCH for illustration. In particular, a martingale representation is used to obtain the l-steps-ahead...

Purpose – To study stochastic volatility in the pricing of options. Design/methodology/approach – Random-coefficient autoregressive and generalized autoregressive conditional heteroscedastic models are studied. The option-pricing formula is viewed as a moment of a truncated normal...