direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

volatility and economic activity assuming that both variables are driven by the same set of unobserved common factors and that … these factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, the … paper analytically shows that volatility is forward looking and that the output equation of a typical VAR estimated in the …

slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …

are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …