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

rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing …

slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …

are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …