This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts … and the time sample used for VaR backtesting. The calculated VaR values are then compared using three different testing …

, demand, monetary and entry cost shocks. The variables entering the VAR are output, inflation, the nominal interest rate …

We study in a VAR model the effects of monetary policy shocks with new Italian flow of funds data for 1980-2002. First …

measuring Risk in a given portfolio using the Value At Risk (VAR). We apply Empirical-Bayesian (EB) techniques to the Normal and … Student models to obtain VAR. The resultings VAR are easy to calculate and that from Student model has a pretty interpretation … in terms of kurtosis. Both VAR were applied to a conjunct of diary observations of returns in six international indexes …

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the … prediction mean squared error over forecasting the disaggregates and aggregating those forecasts, or using only aggregate … information in forecasting the aggregate. An implication of a general theory of prediction is that the first should outperform the …