than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …

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 …

on a type of structural shocks. Identified using a sign restrictions approach, the shocks of our Bayesian Structural VAR … contribution of the two transition rates to the volatility of unemployment, whereas the search shock implies a disproportionate …

dependence ; VAR models ; impulse responses ; factor models ; inflation persistence …

uncertainty shocks measured by stock market volatility have a significant impact on the U.S. unemployment rate. We then develop a …

; political economy ; rents ; volatility ; growth ; institutional divergence …