Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of generality. A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be...

This paper investigates the divergence between the two Hicksian welfare measures of non-traded amenity improvement associated with housing. First, the Hicksian surplus measures for amenity changes are analytically developed based on explicit specification of utility structures. A hedonic...

We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric...

In the 20 years following the publication of the ARCH model, there has been a vast quantity of research uncovering the properties of competing volatility models. Wide-ranging applications to financial data have discovered important stylized facts and illustrated both the strengths and weaknesses...

Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic Censored Latent Effects Autoregressive [CLEAR] model, such that it can describe and forecast the location and size of such...

The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data-driven volatility estimators using high-frequency data. In addition to...