This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard software usually provides parameter estimators that...

In this paper we discuss general identification results for Structural Vector Autoregressions (SVARs) with external instruments, considering the case in which r valid instruments are used to identify g ≥ 1 structural shocks, where r ≥ g. We endow the SVAR with an auxiliary statistical model...

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and end in an empirical illustration that it is economically relevant

In this paper we discuss general identification results for Structural Vector Autoregressions (SVARs) with external instruments, considering the case in which r valid instruments are used to identify g ≥ 1 structural shocks, where r ≥ g. We endow the SVAR with an auxiliary statistical model...

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

The intuition behind linear regression can be difficult for students to grasp particularly without a readily accessible context. This paper uses basketball statistics to demonstrate the purpose of linear regression and to explain how to interpret its results. In particular, the student will...

This paper estimates the stock market and its price dynamics in terms of the multifractional Brownian motion. In our analysis, we use the financial dataset of the Dow Jones Industrial Average (DJI) time series from March 2009 to June 2015. First, we briefly introduce the definitions and...

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on different liquidity rules and various model selection criteria. Details of ECRIX (Exact...

In this paper we discuss different aspects of long mzmory behavior and specify what kinds of parametric models follow them. We discuss the confusion which can arise when empirical autocorrelation function of a short memory process decreases in an hyperbolic way.

In this paper, we focus on the building of an invariant distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory effect, we build a sequence of stationary processes...