This paper empirically investigates the relationship between real money demand, real income, interest rates and real consumption. The paper provide a mixed strategy for estimating the money demand function that incorporates shifting from a system of equations vector auto regression (VAR)...

This study is an attempt to compare a comprehensive list of GARCH Models in quantifying risks of VaR under stress times. We gather data of stock market indices from both emerging (Brazil and Turkey) and developed (Germany and the USA) markets, over the period of global financial crisis and make...

Abstract. This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger...