We derive the asymptotic distribution of the eigenvalues of a sample covari- ance matrix with distinct roots. Our theorem can accommodate the situation in which the population covariance matrix is estimated via its sample analogue as well as the more general case in which it is estimated via a...

The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine months. These yield misalignments tend to persist for a number of months. This...

This paper indicates special aspects of using vector auto-regression models to forecast rates of basic macroeconomic indicators in short term. In particular, traditional vector auto-regression model, Bayesian vector auto-regression model and factor augmented vector auto-regression model are...