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 propose using sign restrictions to identify regional labor demand shocks in a panel VAR of US federal states …

for the skill premium from the CPS and use it to identify skill-biased technology shocks in a VAR with long run …

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

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 …

reaction theory (CRT), should be used to jointly explain the evolution of inflation and unemployment. A further attraction of …