Although many of the models commonly used in empirical finance are linear, the nature of
financial data suggests that non-linear models are more appropriate for forecasting and …

This book contains a up-to-date overview of nonlinear time series models and their
application to modelling economic relationships. It considers nonlinear models in stationary …

Under increased scrutiny from top management and shareholders, marketing managers feel
the need to measure and communicate the impact of their actions on shareholder returns. In …

When applying a statistical method in practice it often occurs that some observations deviate
from the usual assumptions. However, many classical methods are sensitive to outliers. The …

The paper evaluates the performance of several recently proposed tests for structural breaks
in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH …

This study investigates the effects of the terrorist attacks in US on September 11, 2001, on
international stock markets. We examine 10 daily stock market indexes using the outlier …

This study investigates the price volatility of metals, using GARCH and GJR models. First, we
examine the persistence of volatility and the leverage effect across metal markets taking into …

We study the problem of intervention effects generating various types of outliers in a linear
count time‐series model. This model belongs to the class of observation‐driven models and …

In this paper we present two robust estimates for GARCH models. The first is defined by the
minimization of a conveniently modified likelihood and the second is similarly defined, but …

Understanding the importance of sustainability, the increasing ecological concerns need
resource management under the cumulative mineral dependency. In this vein, prices of …