The episodes of stock market crises in Europe and the U.S.A.since the year 2000,and the fragility of the international stock markets,have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises.Portfolio managers...

The purpose of this paper is to demonstrate that the success of the Litterman prior in VAR forecasting is not due to the realism of the prior, but rather because the prior conveniently reduces forecast error variance in common cases of misspecification. Specifically, it is shown that the...

We study the impact of the system dimension on commonly used model selection criteria (AIC,BIC, HQ) and LR based general to specific testing strategies for lag length estimation in VAR's. We show that AIC's well known overparameterization feature becomes quickly irrelevant as we move away from...

The episodes of stock market crises in Europe and the U.S.A. since the year 2000,and the fragility of the New Technology sector after the explosion of the speculative bubble,have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent...