. The variance ratio statistic based on in-sample estimation of GARCH-MIDAS models shows that macroeconomic components … stock volatility. In addition to in-sample estimation, we conduct out-of-sample forecasts to investigate adequacy of …

positive correlation with the inflation. In addition, the stock market volatility tends to rise as macroeconomic uncertainty …

examined, nearly all of the average sectoral correlation is attributable to macroeconomic common shocks, which the fraction of … sectoral correlation attributable to sector-specific shocks is generally very small. Second, among six macroeconomic shocks … price level and government spending could explain only a small fraction of the average sectoral correlation. Third, the …

English Abstract: This paper suggests a Gibbs sampling estimation of an unobserved component cointegrated VAR Model to … smaller or equivalent to the estimation results of Chow-Lin (1971), Denton (1971), Fernandez (1981), and Litterman (1983).The …