We propose a nonlinear time series model where both the conditional mean and the conditional variance are asymmetric functions of past information. The model is particularly useful for analysing financial time series where it has been noted that there is an asymmetric impact of good news and bad...

We argue that the practise of valuing the portfolio is important for the calculation of the Value at Risk and the Expected Shortfall. In particular, the seller (buyer) of an asset does not face a horizontal demand (supply) curve. We propose a new approach for incorporating this fact into the...

The detection of nonlinearities could depend on the sampling frequency. Asymmetric monthly series may become symmetric when aggregated to quarterly or annual frequencies. We test against nonlinearity using the nonlinear autoregressive asymmetric moving average (ARasMA) model, which nests the...