, which includes secular changes in the economic structure and a substantial reduction of output volatility. We find two … robust structural breaks in volatility at the end of WWII and in the mid-eighties, showing that the GM still holds in the … longer perspective. Furthermore, we show that GM volatility reduction is only linked to expansion features. We also date the …

confidence level. Accurate VaR estimation can help financial institutions maintain appropriate capital levels to cover the risk …. Using the S&P 500 index as an example, we show that the proposed Bayesian approach adds value to the original estimation … method of Engle and Manganelli in terms of both estimation and prediction. …

study the estimation procedure in the Yang-Prentice model with regards to the two-sample case. We propose two different …