We consider a class of vector nonlinear error correction models where the transfer function (or loadings) of the stationary relation- ships is nonlinear. This includes in particular the smooth transition models. A general representation theorem is given which establishes the dynamic properties...

We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn...

In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...

In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...

In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...

Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for general ARCH(q) models - including for example Power ARCH and log-ARCH - are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional variance...