The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM....

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate...

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to aid in risk diversification. Conditional correlations...

Economic policy decisions are often informed by empirical analysis based on accurate econometric modeling. However, a decision-maker is usually only interested in good estimates of outcomes, while an analyst must also be interested in estimating the model. Accurate inference on structural...

Economic policy decisions are often informed by empirical economic analysis. While the decision-maker is usually only interested in good estimates of outcomes, the analyst is interested in estimating the model. Accurate inference on the structural features of a model, such as cointegration, can...

Bartlett's paradox has been taken to imply that using improper priors results in Bayes factors that are not well defined, preventing model comparison in this case. We use well understood principles underlying what is already common practice, to demonstrate that this implication is not true for...

A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent shocks....

A sensible Bayesian model selection or comparison strategy implies selecting the model with the highest posterior probability. While some improper priors have attractive properties such as, e.g., low frequentist risk, it is generally claimed that Bartlett's paradox implies that using improper...

Economic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure is...

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from the WTI and Brent markets, and the FTSE100, NYSE, Dow...