The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
2024 FEB 06 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- Investigators publish new report on risk management. According to news originating from Hyogo, Japan, by NewsRx ...
We build a factor-augmented interacted panel vector-autoregressive model of the Euro Area (EA) and estimate it with Bayesian methods to compute government spending multipliers. The multipliers are ...
This paper empirically investigates the effectiveness of monetary policy transmission in the Gulf Cooperation Council (GCC) countries using a structural vector autoregressive model. The results ...
This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
In October 2018, the Basel Committee on Banking Supervision (BCBS) published its stress testing principles. One of these principles is about stress testing model validation, aided by business ...
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
The subroutines TSMULMAR, TSMLOMAR, and TSPRED analyze multivariate time series. The periodic AR model, TSPEARS, can also be estimated by using a vector AR procedure, since the periodic AR series can ...
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