This paper considers observation driven models with conditional mean and variance dynamics for non-negative valued time series. The motivation is to relax the restriction imposed on the higher order moment dynamics in standard multiplicative error models driven only by the conditional mean...

This paper considers observation driven models with conditional mean and variance dynamics for non-negative valued time series. The motivation is to relax the restriction imposed on the higher order moment dynamics in standard multiplicative error models driven only by the conditional mean...

The phenomenon of growing capital market linkages is a significant exogenous factor affecting the effectiveness of national economic policies and risk management processes in enterprises. As a result the identification of interdependencies among capital markets is important both from the macro...