A least squares estimation approach for the estimation of a GARCH (1,1) model is developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditional moment of some order. We establish the consistency, asymptotic normality and the law of iterated logarithm for our estimate. The finite sample properties are a...

This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete approximation metho...

In this paper we apply the wavelets methodology to the analysis of the comovements of for some MENA countries from June 1997 until March 2005. We decompose weekly stock market returns into di¤erent time scale components using the non-decimated discrete wavelet transform and then analyze the relationships among these variables at the di¤erent time scales. Keywords : Stock market returns, Wavelet...

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of mode...

It follows that Kerker's equations (6.1.46) and (6.1.47) should be deleted, and the quantities C n e x t and C22 ext should be replaced by C1 ex t and C2 ex t . Note that the forwardscattering (θ = 0) wave as well as the backscattering wave from tilted infinite cylinders is not de­ polarized, an effect which is well known in the case of spheres. But in contradiction to the spheres, the followin...

0.094 ----TSB 37°C Baciillus sp. Clone 35 23 0.047 ----TSB 37°C Bacillaceae bacterium C22 21 1.7 ----BA 37°C Bacillus cereus 43 0.75 ----BA 30°C 38 0.5 ----TSB 30°C Bacillus fusiformis 14 1.5 ----BA 37°C Bacillus aquimaris 45 1.2 CXM30 4.25mm BA 30°C Bacillus pumilus 48 3.5 ----R2A 37°C Bacillus megaterium 32 0.064 ----BA 30°C 42 0.75 ----TSB 37°C 19 0.25 ----TSB 30°C 18 0.38 CXM30 1.75mm LB 37°C

We perform a series of Monte Carlo experiments in order to evaluate the impact of data transformation on forecasting models, and ̄nd that vector error-corrections dominate di®erenced data vector autoregressions when the correct data transformation is used, but not when data are incorrectly tansformed, even if the true model contains cointegrating restrictions. We argue that one reason for this ...

This paper studies the information content of some Ifo indicators. In particular, we investigate whether two Ifo indicators, one on the current business situation, the other on current production development, provide information on revisions of German industrial production. A new feature of our analysis is the construction and use of a real-time dataset. We conclude that the Ifo indicators play...

The fatty-acyl composition of the seed oil was determined for 100 ecotypes of Arabidopsis thaliana. Despite coming from diverse geographical locations, seed fatty-acyl profiles of all ecotypes were remarkably similar. They contained identical fatty acids, including the characteristic C20 and C22 very-long-chain fatty acids (VLCFAs). The total proportions of seed VLCFA varied between 22% and 35%...