The classical rational expectations model of commodity markets implies that expected spot price risk is an explanatory variable in spot price regressions; and also that inventory carryover, which is reduced by a larger price variance, creates autoregressive conditional heteroscedastic processes...

We provide simulation and theoretical results concerning the finite-sample theory of quasi-maximum-likelihood estimators in autoregressive conditional heteroskedastic (ARCH) models when we include dynamics in the mean equation. In the setting of the AR(q)-ARCH(p), we find that in some cases bias...

This paper reconsiders a block bootstrap procedure for Quasi Maximum Likelihood estimation of GARCH models, based on the resampling of the likelihood function, as proposed by Gonçalves and White [2004. Maximum likelihood and the bootstrap for nonlinear dynamic models. Journal of Econometrics...

This paper proposes several new tests for structural change in the multivariate linear regression model. One of the most popular alternatives are Sup-Wald type tests along the lines of Bai, Lumsdaine and Stock (1998), which Bernard,Idoudi, Khalaf and Yélou (2007) show to have very large size...

At the present time, there exists an important and growing econometric literature that deals with the application of multivariate-ARCH models to a variety of economic and financial data. However, the properties of the estimation procedures that are used have not yet been fully explored. This...

We analyse asymmetric interest rate pass through, the impact of interest rate volatility on interest rates and the monetary transmission mechanism in the countries of the CSME22Caribbean Single Market and Economy. using the Asymmetric TAR and MTAR cointegration models by Enders and Siklos (2001)...