Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse responses. In this paper we propose general-to-specific model selection procedures to overcome these limitations. After showing that single-equation ...

Risk managers are increasingly required by international Regulatory Institutions to adopt accurate techniques for the measurement and control of portfolios financial risks. The task requires first the identification of the different risk sources affecting the portfolio and the measurement of their impact, then after: the adoption of appropriate portfolio strategies aimed at neutralising these r...

Article history: Received 11 January 2006 Received in revised form 31 July 2008 Accepted 1 August 2008 Available online 6 August 2008 This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as away of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of vola...

This paper reconsiders the developments of model evaluation in macroeconometrics over the last forty years. Our analysis starts from the failure of Cowles foundation models. The different diagnosis of this failure are then analyzed to classify them in two groups: explanations related to problems in the theoretical models that lead to problems in the identification of the relevant econometric mo...

Let S = a1r1+a2r2+ · · ·+anrn be a weighted Rademacher sum. Friedgut, Kalai, and Naor have shown that if Var(|S|) is much smaller than Var(S), then the sum is largely determined by one of the summands. We provide a simple and elementary proof of this result, strengthen it, and extend it in various ways to a more general setting. ACM Classification: G.3 AMS Classification: 60E15, 42C10

-Texture classification is a major issue in image analysis and pattern recognition. A number of methods are proposed in the literature including Local Binary Pattern (LBP). The LBP variant (s) plays an active role to extract texture features for texture classification. These are rotation invariant, noise sensitive or noise insensitive mehods. Each method has its own advantages and disadvantages...

C. neoformans is a basidiomycetous, yeast-like fungus that, following inhalation from an environmental source, causes respiratory and neurological infection in humans and animals. This fungus has 5 serotypes (A, B, C, D, and AD), and recently was subdivided into 3 varieties known as C. neoformans var. grubii (serotype A), C. neoformans var. neoformans (serotype D), and C. neoformans var. gattii...

Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic ‡uctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with some of the DSGE misspeci…cations as they are able to solve the tradeo¤ between theoretical coherence and empirical …t. However, these models are still linear and they do not con...

The objective and subjective classification of unvoiced stop consonants in varying vowel contexts were studied. The objective classification was based on auditory feature vectors obtained by warped linear prediction (WLP) and vector autoregressive (VAR) models for parameter trajectories. In the case of known vowel the unvoiced consonants were classified 98-100% correctly based on the auditory s...