Using data for the Ukrainian economy, we applied and adapted the growth-at-risk (GaR) framework to examine the association between financial conditions, credit and sectors' activity, and external conditions and the probability distribution of GDP growth in Ukraine. We applied CSA and PCA...

This paper analyzes the relationship between efficiency and innovation activity in Spanish industrial and service sectors by introducing a new methodology framework. A new model combining principal component analysis (PCA) and data envelopment analysis (DEA) is applied in order to obtain an...

In this paper, we propose a new multivariate mean-reverting model incorporating state-of-the art 4/2 stochastic volatility and a convenient principal component stochastic volatility (PCSV) decomposition for the stochastic covariance. We find a quasi closed-form characteristic function and...

We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...