A bullwhip measure for a two-stage supply chain with an order-up-to inventory policy is derived for a general, stationary SARMA(p, q) × (P, Q)s demand process. Explicit expressions for several SARMA models are obtained to illustrate the key relationship between lead-time and seasonal lag. It is...

Purpose – Option pricing based on Black-Scholes model is typically obtained under the assumption that the volatility of the return is a constant. The purpose of this paper is to develop a new method for pricing derivatives under the jump diffusion model with random volatility by viewing the...

Estimating functions have been shown to be convenient to study inference for nonlinear time series models. One such model is the recently proposed Random Coefficient Autoregressive (RCA) model with Generalized Autoregressive Heteroscedasticity (GARCH) errors (Thavaneswaran et al., 2009). We...

Purpose – To study stochastic volatility in the pricing of options. Design/methodology/approach – Random-coefficient autoregressive and generalized autoregressive conditional heteroscedastic models are studied. The option-pricing formula is viewed as a moment of a truncated normal...

Purpose – Financial returns are often modeled as stationary time series with innovations having heteroscedastic conditional variances. This paper seeks to derive the kurtosis of stationary processes with GARCH errors. The problem of hypothesis testing for stationary ARMA(p, q) processes with...

This paper studies the problem of volatility forecasting for some financial time series models. We consider several stochastic volatility models including GARCH, Power GARCH and non-stationary GARCH for illustration. In particular, a martingale representation is used to obtain the l-steps-ahead...

This note considers a new class of nonparametric estimators for nonlinear time-series models based on kernel smoothers. Various new results are given for two popular nonlinear time-series models and compared with the results of Thavaneswaran and Peiris (Statist. Probab. Lett. 28 (1996) 227).