This article proposes a novel approach to modelling structural changes in asset returns correlations and their relationship to macroeconomic fundamentals. We introduce a new correlation component model, the Regime-switching DCC-MIDAS, that incorporates breaks of different type in the conditional...

Energy price volatilities and correlations have been modeled extensively using short-memory multivariate GARCH models. This paper investigates the potential benefits from using multivariate fractionally integrated GARCH models from a forecasting and a risk management perspective. Several...

This paper investigates the behaviour of the pooled ols estimator in a panel model with stationary and nonstationary regressores as both N amd T go to infinity. the nonstationary regressor is assumed I(1) ,the stationary regressor is set i.i.d.The investigation is carried through four Monte...

We propose a model diagnostic device to compare different linear and non linear parametric time series models of real GDP business cycle.The comparison appears of remarkable economic importance since different models have very different implications in term of long run persistence of negative...

This paper investigates the behaviour of the pooled ols estimator in a panel model with stationary and nonstationary regressores as both N amd T go to infinity. the nonstationary regressor is assumed I(1) ,the stationary regressor is set i.i.d.The investigation is carried through four Monte...

We propose a model diagnostic device to compare different linear and non linear parametric time series models of real GDP business cycle.The comparison appears of remarkable economic importance since different models have very different implications in term of long run persistence of negative...

This paper investigates the accuracy of internal rating based (IRB) models in measuring credit risk. We contribute to the growing debate on the current prudential regulatory framework by investigating the use of validated IRB models in promoting efficient risk management practises. Our empirical...

The availability of many variables with predictive power makes their selection in a regression context difficult. This study considers robust and understandable low-dimensional estimators as building blocks to improve overall predictive power by optimally combining these building blocks. Our new...

Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed...