that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model driven by …

estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction … significant events in GARCH models in volatility estimation of key asset prices. …

estimation of confidence intervals by means of the residual subsample bootstrap in an empirical application to daily stock …

We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH …-recurrent (change-point) regime specifications. We illustrate the estimation method through simulations and apply it to seven financial …