Many existing independent component analysis (ICA) approaches result in deteriorated performance in temporal source separation because they have not taken into consideration of the underlying temporal structure of sources. In this paper, we model temporal sources as a general multivariate auto-regressive (AR) process whereby an underlying multivariate AR process in observation space is obtained...

Knowledge of contagion among economies is a relevant issue in economics. The canonical model of contagion is an alternative in this case. Given the existence of endogenous variables in the model, instrumental variables can be used to decrease the bias of the OLS estimator. In the presence of heteroskedastic disturbances this paper proposes the use of conditional volatilities as instruments. Sim...

A generalization of the correlation integral of Grassberger and Procaccia is used to develop a statistic that has the property that it is asymptotically zero if and only if the underlying Gaussian process is independent. The same implication also holds for certain related processes. It is shown that the stastistic is asymptotically normal for weakly dependent stationary processes. An example is...

A class of semiparametric fractional autoregressive GARCH models (SEMIFARGARCH), which includes deterministic trends, difference stationarity and stationarity with shortand long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper discusses the model fitting, including an efficient algorithm and parameter estimation of GARCH error ...

inflation has always been an economic problem and different solutions have been proposed to control it. although it is said that “higher output lowers inflation rate” but it is true when other factors are constant. this study searches the answer to the following question: “what is the effect of inflation rate and output in a case that inflation rate and output growth has a volatility trend?” to...

Clean energy firms are among the most risky to invest in. Hence, it is essential have a clear understanding of risk profile clean stocks. The main purpose this study examine how changes in reserve currency (US dollar) value affect volatility stocks absence/presence uncertainty information. To end, first obtained by considering information exponential generalized autoregressive conditional heter...

Purpose The study's purpose is to investigate the price volatility of four dairy commodities (skim milk powder [SMP], whole [WMP], butter and cheddar cheese) in three most significant regional markets (EU, Oceania US) international market. Design/methodology/approach study uses a panel-Generalized Autoregressive Conditional Heteroskedastic (panel-GARCH) modeling technique data from January 12, ...

We test the importance of multivariate information for modelling and forecasting inflation’s conditional mean and variance. In the literature, the existence of inflation’s conditional heteroskedasticity has been debated for years, as it seemed to appear only in some datasets and for some lag lengths. This phenomenon might be due to the fact that inflation depends on a linear combination of econ...

We give a general formulation of a non-Gaussian conditional linear AR(1) model subsuming most of the non-Gaussian AR(1) models that have appeared in the literature. We derive some general results giving properties for the stationary process mean, variance and correlation structure, and conditions for stationarity. These results highlight similarities and differences with the Gaussian AR(1) mode...