This article is concerned with forecasting from nonlinear conditional mean models. First, a number of often applied nonlinear conditional mean models are introduced and their main properties discussed. The next section is devoted to techniques of building nonlinear models. Ways of computing...

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review. --...

Perspectives on Econometrics and Applied Economics A Tribute to Sir Clive Granger Edited by Mark P. Taylor Routledge Taylor & Francis Group LONDON A ND NEW YORK Contents 1. Special issue in honour of Clive Granger Mark P. Taylor ...