Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower … Monte Carlo (MC). This paper introduces a methodology that encompasses historical and MC VaR as special cases, which is much … distribution. Stressed VaR is typically computed from an historical sample using the Duffie-Pan methodology, whereby the sample is …

multivariate intraday trading process of return volatility, volume and trading intensity by a VAR model that is augmentedby a joint …

In the applications of identified VAR models, finite-sample properties are not obvious to obtain when identifying …

Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler … and recursive VAR models with a much broader range of linear restrictions than those in the existing literature. We show …

We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which …