Maximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution...

A univariate nonlinear model is estimated for US GNP that on many criteria outperforms standard linear models. The estimated model is of the threshold autoregressive type and...

The existence of a serial correlation common feature among the first differences of a set of I(1) variables implies the existence of a common cycle in the...