We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory … series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the …

identified in a VAR model so they can be interpreted as countryspecific and global supply shocks. The dynamic properties of the … model are analyzed and the relative importance of each shock is measured. It is shown that the VAR model matches most of the …

One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory … series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the …

models, have traditionally been dominating the empirical finance literature. In recent years, with the availability of … highfrequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing … observable or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …