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Comparison of a Class of Nonlinear Time Series models (GARCH, IGARCH, EGARCH)
In this paper, we analyse the volatilities in financial data such as stock prices and exchange rates in term of a class of nonlinear time series models. We compare the performance of GeneralizedExpand
An empirical study on the econometric implications of rational expectations hypothesis
SummaryThis paper studies certain implications of varying informational content of rational expectations on the Natural Rate hypothesis in the context of a standard macroeconomic model of the U.S.Expand