An empirical comparison of forecasting performance is undertaken for multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models in the estimation of intraday value at risk (VaR). This comparison aims to evaluate the applicability of such models to risk management using...

The popular 'airline' model for a seasonal time series assumes that a variable needsdouble differencing, i.e. first and seasonal (or annual) differencing.The resultant time series can usually be described by a low order movingaverage model with estimated roots close to the unit circle. This...

The popular "airline" model for a seasonal time series assumes that a variable needsdouble differencing, i.e. first and seasonal (or annual) differencing.The resultant time series can usually be described by a low order movingaverage model with estimated roots close to the unit circle. This...

The popular 'airline' model for a seasonal time series assumes that a variable needsdouble differencing, i.e. first and seasonal (or annual) differencing.The resultant time series can usually be described by a low order movingaverage model with estimated roots close to the unit circle. This...