Criterion (AICC) as an order determination criterion for the selection of Autoregressive Moving-average or ARMA (p, q) time …

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under … considering Non-Normality, neglect to model time- dependence. Moreover, VaR is an incomplete measure of market risk whenever the … Normality assumption does not hold. In this case, VaR results must be compared with Draw-Down and Time Under-The-Water measures …

ARMA and ARMAX (where the exogenous variable is the system load) processes. Models are tested on a time series of …

volatility technique. In both models the stochastic component is described by an ARMA time series. Models are tested on a time …

positive response of price to a monetary policy shock is historically limited to the sub-samples associated with a weak central … equilibria arise. In contrast, the DSGE model never generates on impact a positive inflation response to a policy shock. The …

policy shock; they can avoid the use of a single variable to proxy theoretical constructs, such as the output gap; they allow … propose a novel Structural Factor-Augmented VAR (SFAVAR) model, where the factors have a clear meaning: 'Real Activity' factor …

investments, inventories and trade balance). The estimation is conducted in a structural VAR framework, in which the minimal …