Abstract: This paper introduces rank-based tests for the cointegrating rank in an Error Correction Model with i.i.d. elliptical innovations. The tests are asymptotically distribution-free, and their validity does not depend on the actual distribution of the innovations. This result holds despite...

This paper studies a special class of vector smooth-transition autoregressive (VS- TAR) models containing common nonlinear features (CNFs). To test the existence of CNFs in a VSTAR model, a triangular representation for such a system containing CNFs is proposed. A procedure of testing CNFs in a...

This paper introduces rank-based tests for the cointegrating rank in an Error CorrectionModel with i.i.d. elliptical innovations. The tests are asymptotically distribution-free,and their validity does not depend on the actual distribution of the innovations. Thisresult holds despite the fact...

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the...