One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics …

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory … series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the …

identified in a VAR model so they can be interpreted as countryspecific and global supply shocks. The dynamic properties of the … model are analyzed and the relative importance of each shock is measured. It is shown that the VAR model matches most of the …