We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We …

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …