The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has previously been done empirically. In this paper the same issue...

Starting from a linear error correction model the stability and linearity of a German M1 moneyt demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted data from 1961 (1) to 1990 (2) it is found that the money demand equation is both linear...

This paper analyzes the net barter terms of trade measured by the primary commodity price index relative to the index of unit values of export of manufactures from industrial countries. The starting-point is that the series is stationary but possibly nonlinear. Statistical tests indicate that...

The paper is concerned with testing super exogeneity in a single equation that can either be linear or partially nonlinear. A joint test for testing both weak exogeneity and a form of invariance, which together amount to super exogeneity, is presented and its properties discussed. The...

The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in financial series such as stock and exchange rate returns are considered. These are the standard Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the Exponential...

In this paper we use Monte Carlo testing techniques for testing linearity against the smooth transition models. The Monte Carlo approach allows us to introduce a new test that differs from the tests existing in the literature in two respects. First, the test is exact in the sense that the...

In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Teräsvirta (2005) by including...

In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev...

In two recent papers, Granger and Ding (1995a, b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...