This paper first describes moment properties for Random Coefficient Autoregressive (RCA) processes and the corresponding squared processes, and then studies joint prediction of the mean and volatility. Recursive estimates based on estimating functions are used to compute joint predictions for...

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.

In this paper, we review recent developments in modeling term structures of market yields on default-free bonds. Our discussion is restricted to continuous-time dynamic term structure models (DTSMs). We derive joint conditional moment generating functions (CMGFs) of state variables for DTSMs in...