variables representing economic activity, monetary policy and survey data within VAR and BVAR models. We propose a scoring … outperform also the indicators of economic activity, probably due to their forward-looking nature. VAR models outperform …

several sophisticated and established approaches and can be regarded as a periodic VAR-TARCH with wind power, solar power, and …

portfolios gain more profit and also PCCs provide reliable VaR estimates. However, on Russian oil and gas stock market PCC …

, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at … applied to a VAR model of the U.S. economy. Nous proposons des méthodes pour tester des hypothèses de non-causalité à … différents horizons, tel que défini dans Dufour et Renault (1998, Econometrica). Nous étudions le cas des modèles VAR en détail …

constructing a VAR model that captures the economic interactions between leading indicators representing expectations, investments … causality tests. The VAR model is also used to derive the dynamic paths of adjustment of global chip sales in response to shocks … leading quality of the selected indicators. Finally, out-of-sample forecasts of global chip sales are generated from the VAR …

The purpose of this paper is to demonstrate that the success of the Litterman prior in VAR forecasting is not due to … misspecified as white noise, and (3) the inclusion of an irrelevant unit root process in VAR. …