test for cointegrating relationships corresponding to the patterns predicted by theory. We confirm episodes of expansion of …

Using Difference-in-Differences estimation and data from the European Community Household Panel, this paper suggests …

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …

on a type of structural shocks. Identified using a sign restrictions approach, the shocks of our Bayesian Structural VAR …In this paper, we aim to provide a comprehensive view of the unemployment dynamics generated by different structural … shock to the profitability of a match (the aggregate shock), a shock specific to the existing jobs (job-specific shock) and …

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper … dependence ; VAR models ; impulse responses ; factor models ; inflation persistence …