In this paper we consider the fourth moment structure of a class of first-order Exponential GARCH models. This class contains as special cases both the standard Exponential GARCH model and the symmetric and asymmetric Logarithmic GARCH one. Conditions for the existence of any arbitrary moment...

We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are...

We consider models for stock prices which relates to random processes with independent homogeneous increments (Levy processes). These models are arbitrage free but correspond to the incomplete financial market. There are many different approaches for pricing of financial derivatives. We consider...

Modelling and forecasting the volatile spot pricing process for electricity presents a number of challenges. For increasingly deregulated electricity markets, like that in the Australian state of New South Wales, there is need to price a range of derivative securities used for hedging. Any...

We reformulate and extend the Blanchard model of output dynamics, the stock market and interest rates that studies Keynesian IS-LM analysis from the perspective of a richer array of short-term bonds. Thus investment demand now depends on Tobin's average q in the place of the real rate of...

We consider a Heath-Jarrow-Morton models for the term structure of interest rates in which the forward rate volatility is a function of the instantaneous spot rate of interest, a set of dicrete forward rates and time to maturity of the bond. We show how the stochastic dynamics may be expressed...

Rescaled range analysis has in recent times gained in popularity as a means of identifying long memory effects in financial and economic time series data. Conclusions derived from the rescaled adjusted range statistic are conditional however upon the choice of an approptiate benchmark against...

In this paper we investigate further the 34D applied structural model whose extensive form we introduced in Chiarella and Flaschel (1999c). Here we express the model in terms of intensive form state variables, thereby abstracting from the underlying growth trend. We explain the dynamic (and...