In this paper the authors model the monthly number of passengers flying with the Spanish airline Iberia from January 1985 to December 1992 and predict future values of the series up to October 1994. Those series are characterized by strong seasonal variations and by having an upward trend which...

In this paper, we study the effects caused by the presence of outliers on the identification and estimation of GARCH models. First, we derive the asymptotic biases of the sample autocorrelations of squared observations and their effects on some popular homoscedasticity tests when uncorrelated...

International financial integration effects on the Spanish stock market are studied, both for the conditional mean and conditional variance. New institutional regulations in Spain are taken into account and their efficiency consequences are addressed. Results suggest an increasing international...

The asymmetric response of conditional variances to positive versus negative news has been traditionally modeled with threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of intermediate regimes is considered and modeled with the...

We propose a new battery of dynamic specification tests for the joint hypothesis of iid-ness and density function based on the fundamental properties of independent random variables with identical distributions. We introduce a device-the autocontour-whose shape is very sensitive to departures...

Current regression models for interval-valued data do not guarantee that the predicted lower bound of the interval is always smaller than its upper bound. We propose a constrained regression model that preserves the natural order of the interval in all instances, either for in-sample fitted...

We contribute to the rather sparse literature on multivariate density forecasting by introducing a new framework for the out-of-sample evaluation of multivariate density forecast models which builds on the concept of “autocontours” proposed by González-Rivera, Senyuz, and Yoldas (2011)....

Histogram time series (HTS) and interval time series (ITS) are examples of symbolic data sets. Though there have been methodological developments in a cross-sectional environment, they have been scarce in a time series setting. Arroyo, González-Rivera, and Maté (2011) analyze various...

We propose a new nonlinear time series model of expected returns based on the dynamics of the cross-sectional rank of realized returns. We model the joint dynamics of a sharp jump in the cross-sectional rank and the asset return by analyzing (1) the marginal probability distribution of a jump in...