Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

In a multivariate growth-curve model, the estimator of the parameter matrix is a function of the matrix of the sums of squares and of the cross-products due to error ...

After publication of an earlier version of this paper, we received feedback that there were several incorrect references to related methods in the literature. These errors are corrected in the current ...

Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter ...