This paper attempts to enlarge the class of Threshold Heteroscedastic Models (TARCH) introduced by Zakoian (1991). We show that it is possible to relax the positivity constraints on the parameters of the conditional variance. Unconstrained models provide a greater generality of the paths...

In this paper a VAR model is considered as a general framework in which a structural model can be tested. We carefully describe the hypotheses defining a structural model; this leads us to discuss various notions such as: predeterminedness, non-causality, exogeneity, contemporaneous...