, 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. …

causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple method …

, 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 …

Value at Risk (VaR) is defined as the worst expected loss under normal market conditions over a specific time interval … at a given confidence level. Given the widespread usage of VaR, it becomes increasingly important to study the effects of … the portfolio optimization subject to the VaR constraint set by the fund manager. In this paper, we examine the classical …