It is common wisdom that the 9/11 terrorist attacks boosted political and financial uncertainty and resulted in severe stock market meltdowns in the months after the attacks. Taking a sectoral focus of the market for US common stock, we apply statistical extreme value analysis (EVT) to assess whether downside risk measures like Value-at-Risk (VaR) and extremal sector linkages were significantly...

In this paper we present a semi-automated search procedure to deal with the problem of the identification of the contemporaneous causal structure connected to a large class of multivariate time series models. We refer in particular to multivariate models, such as vector autoregressive (VAR) and dynamic factor (DF) model, in which the background or theoretical knowledge is not sufficient or enou...

We study the interrelationship between capital °ows, returns, dividend yields and world interest rates in 20 emerging markets. We estimate a vector autoregression with these variables to measure the degree to which lower interest rates contribute to increased capital °ows and shocks in °ows a®ect the cost of capital among other dynamic relations. We precede the VAR analysis by a detailed examin...

Prior studies have established that the Cryptococcus neoformans capsular polysaccharide component galactoxylomannan (GalXM) manifests serotype-related structural differences that translate into antigenic differences. We analyzed GalXM from acapsular serotype A and D strains by carbohydrate analysis and static and dynamic light scattering to determine mass, effective diameter, polydispersity, an...

The structural and functional analyses of heterochromatin are essential to understanding how heterochromatic genes are regulated and how centromeric chromatin is formed. Because the repetitive nature of heterochromatin hampers its genome analysis, new approaches need to be developed. Here, we describe how, in double mutants for Su(var)3-9 and SuUR genes encoding two structural proteins of heter...

The paper analyses the relationship between shadow economy and unemployment rates using a Structural VAR approach for quarterly data during the period 2000-2010. The size of Romanian shadow economy is estimated using the currency demand approach based on VECM models, stating that its size is decreasing over the analyzed period, from 36.5% at the end of 2000 to about 31.5% of real GDP at the mid...

This paper proposes an efficient estimator for rational expectations models that consists in mapping the impulse responses from the data to the structural coefficients of the model. The data-based impulse responses are estimated by local projections, which are robust to misspecification, and provide an estimate of the impulse responses’ variance-covariance matrix. This matrix is then used to ob...