This is a preview. Log in through your library . Abstract The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, ...

When a time series has a unit root, the series is nonstationary and the ordinary least squares (OLS) estimator is not normally distributed. Dickey (1976) and Dickey and Fuller (1979) studied the ...

In a multivariate regression model, the errors in different equations may be correlated. In this case the efficiency of the estimation may be improved by taking these cross-equation correlations into ...

In this paper the quadratic risk of a homogeneous linear estimator and the ordinary least squares estimator is compared in subsets of the parameter space and conditions for strong (matrix risk) and ...