In this paper we review and generalize results on the derivation of tractable non-negativity (necessary and sufficient) conditions for N-dimensional asymmetric power GARCH/HEAVY models and MEM. We show that these non-negativity constraints are translated into simple matrix inequalities, which...

In this paper we review and generalize results on the derivation of tractable non-negativity (necessary and sufficient) conditions for N-dimensional asymmetric power GARCH/HEAVY models and MEM. We show that these non-negativity constraints are translated into simple matrix inequalities, which...

Investing or trading in a country, whether domestic or foreign, involves some elements of risks and uncertainties depending upon its systemic, economic, financial, political, and business operating environments. Understanding the phenomenon of country risk is enormously vital for global...

We apply the CARDS solar forecasting tool, developed at the University of South Australia, to forecasting of solar radiation series at three sites in Guadeloupe in the Caribbean. After performing the model estimates at each individual site, forecast errors were tested for cross correlation. It...

New models to forecast the real price of oil on the basis of macroeconomic indicators and Google search data are proposed. A large-scale out-of-sample forecasting analysis comparing the different models is performed. It is found that models including both Google data and macroeconomic aggregates...

In this paper, we consider multivariate models for returns on Russian equities based on normal distribution, t-distribution with scalar degrees of freedom parameter and t-distribution with vector degrees of freedom parameter. Our models capture autocorrelation, volatility clustering, dynamic...

This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts for a portfolio of assets. To achieve this goal, we unify past multivariate models by using a general copula framework and we propose many new extensions. We differentiate the...