We show that the asymptotic distribution of the ordinary least squares estimator in a cointegration regression may be bimodal. A simple case arises when the intercept is erroneously omitted from the estimated model or in nonlinear-in-variables models with endogenous regressors. In the latter...

This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining a Generalized Autoregressive Conditional Heteroscedasticity (GARCH)...