This study makes an innovative approach, since it applies a set of diversified tests, which have not been used on a joint basis until now, in order to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that...

The article investigates the use of adaptive learning algorithms in constructing dynamic portfolios replicating the return characteristics of a given hedge fund. The emphasis is on out of sample conditional predictive capabilites as necessary to serve as a valuable risk management tool, rather...

Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance parameter estimators and address bootstrap...

The paper is the first part of the study which is devoted to the analysis of the macroeconomic trends in the Russian Federation and the Republic of Armenia in the period 1995–2011 and the development of the aggregated macroeconometric models of the national economies of these two countries. We...

In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...

The aim of this paper is that of giving a finer insight into the analytic foundations of vector autoregressive models (VAR) in comparison with classical econometric models. To this end we show the links between the techniques of structural and VAR model building on the one hand, and the...

It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...

The aim of the paper is to study the nature of normalization in Structural VAR models. Noting that normalization is the integral part of identification of a model, we provide a general characterization of the normalization. In consequence some the easy–to–check conditions for a Structural...

The aim of the article is to introduce a complex econometric model of cash-flows for the Czech life insurance market. Namely, technical-actuarial links among insurance variables observed in annually published summary balance sheets of life insurers are described by means of an econometric system...