The impact of structural changes as well as breaks on oil price fluctuations is studied in this article. There are a few channels, such as domestic prices and inflation, that cause the effect of oil price to pass through the economy. The higher crude oil price is immediately followed by the...

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....

A key concept of the forward search algorithm in confirmatory factor analysis is ordering of the data on the basis of observational residuals. These residuals are computed under the proposed model and measure the discrepancy between the observed and predicted response for each unit of the...