In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...

This is a preview. Log in through your library . Abstract This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a ...

A behind-the-scenes blog about research methods at Pew Research Center. For our latest findings, visit pewresearch.org. Identifying causal relationships from observational data is not easy. Still, ...