• Publications
  • Influence
Co-integration and error correction: representation, estimation and testing
The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector of
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional
Dynamic Conditional Correlation
Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A
Multivariate Simultaneous Generalized ARCH
This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate
Dynamic Conditional Correlation : A Simple Class of Multivariate GARCH Models
Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of returns. A new class of multivariate models called dynamic conditional
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
This paper proposes a new statistical model for the analysis of data which arrive at irregular intervals. The model treats the time between events as a stochastic process and proposes a new class of
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles *
This work interprets the VaR as the quantile of future portfolio values conditional on current information, and proposes a new approach to quantile estimation which does not require any of the extreme assumptions invoked by existing methodologies.
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †
The financial crisis of 2007-2009 has given way to the sovereign debt crisis of 2010-2012, yet many of the banking issues remain the same. We discuss a method to estimate the capital that a financial