problems for estimation and inference. This paper compares two alternative methods for carrying out estimation and inference in … application to company returns provides an illustration of the alternative estimation procedures. …

VAR is estimated for 26 countries, the euro area being treated as a single economy. This paper proposes two important … the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the …

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … correlations in most markets; possibly reflecting the advent of euro in 1999 and increased interdependence of financial markets. …

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …