introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time …. For eleven U.S. variables, we examine the performance of our model and compare the results to the time-constant MF-VAR of …

investment, CDS spreads, exchange rates, and stock return volatility. Using over 8.6 million ticker transaction observations and … structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU …) significantly reduce foreign net buys, more than global market volatility (VIX). While global volatility drives CDS spreads, these …

forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high …

AutoRegression (VAR) and a fully structural Dynamic Stochastic General Equilibrium (DSGE) model, at forecasting financial returns. We … show that the DSGE model outperforms the unrestricted VAR at forecasting financial returns in the long term and generates …