vector autoregression (VAR) type model specifications. Directed acyclic graph theory is proposed as an alternative modeling …

technology shocks. The suggested approach results in a factor generalization of the DSGE-VAR methodology of Del Negro and …

markets for the two classes of shares. Value-at-Risk (VaR) threshold forecasts are used to analyse the importance of … information flow on the risk evaluation of a diversified portfolio. The competing VaR forecasts are analysed using the …

construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we …

currency, stock and money markets, respectively. We use a sample of nine East Asian countries, including Japan, construct a VAR …

many developing countries. Instead we use a reduced form vector autoregression model (VAR) and show how policy simulation … results can be obtained from a fairly parsimonious VAR that can be estimated with sparse data and imposes only minimal …

, preço doméstico e taxa de câmbio utilizando a metodologia VAR, no período de janeiro de 1996 a março de 2007. As séries … – VAR em nível. A decomposição davariância dos erros de previsão indicou que após choque não antecipado sobre as variáveis …, domestic price and exchange rate using the methodology VAR, in the period of January of 1996 to March of 2007. The studied …

in the south ofthat state, the greatest region producer, trough two models of Value at Risk (VaR), theNormal Model and … sure, both of them in a thirtydays exposure, calculated by the Historic Simulation VaR Model, which was the mosttrustable …, with less exceptions. Besides, the compare between the risks of coffee,Ibovespa and dollar, all of them calculated by VaR …