We derive the Bayes estimator of vectors structural VAR impulse responses under a range alternative loss functions. also discuss construction joint credible regions for as lowest posterior risk region same show that conventional response estimators such median function or mean are not in general vector obtained by stacking interest. illustrate pointwise may imply shapes incompatible with any po...

K e y w o r d s: prediction, model comparison, density forecasting, inflation, VAR models, shrinkage. J E L Classification: E31, E37, C53, C32.

Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified and estimated to construct forecasts. As the potential number of lags included is large, we compare ful...

Based on fractal theory, a regular is used to construct symmetrical reef models (e.g., cube and triangle models) with different levels (n = 1, 2, 3). Using the concept of dimension, we can better understand spatial effectiveness artificial reefs. The void space complexity index defined quantify internal distribution reefs under levels. computational fluid dynamics (CFD) flow simulation approach...

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 a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average’ mod...