A multivariate bullwhip expression for <I>m</I> two-stage supply chains with an order-up-to inventory policy is developed. The demand models under consideration are differenced stationary vector time series with a Wold representation for which general forecasting formulas are available, resulting in a...</i>

Multivariate time varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have attracted a lot of practical interest. Bayesian and classical techniques...

A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multi-parameter numerical...