derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the …-tailed than if based on an individual underlying model with the same average volatility. Evaluation of volatility models is also …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the …-tailed than if based on an individual underlying model with the same average volatility. Evaluation of volatility models is also …

volatility in the disturbances. The risk of a liquidity trap in the U.S.A. and Japan is evaluated. Although this risk found to be …

) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …