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VAR analysis

ACM SIGMIS Database: the DATABASE for Advances in Information Systems, 1992
Recently, strategic implications of information technology have attracted much attention. Many successful applications have been analyzed and frameworks have been developed to help firms identify opportunities for applying strategic information systems (SIS).
Tang, Ming-Je, Liang, Ting-Peng
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VAR analysis, nonfundamental representations, blaschke matrices

Journal of Econometrics, 1994
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lippi, Marco, Reichlin, Lucrezia
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LIKELIHOOD-BASED ANALYSIS IN MIXTURE GLOBAL VARs

Journal of Mathematical Sciences, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Structural Analysis of Cointegrating VARs

Journal of Economic Surveys, 1998
This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VARs) to examine their links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL), and Simultaneous Equations Models (SEMs).
M. Hashem Pesaran, Ron P. Smith
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An Analysis of VaR-based Capital Requirements

SSRN Electronic Journal, 2003
Abstract We study the behavior of a financial institution subject to capital requirements based on self-reported VaR measures, as in the Basel Committee's Internal Models Approach. We view these capital requirements and the associated backtesting procedure as a mechanism designed to induce financial institutions to reveal the risk of their ...
Domenico Cuoco, Hong Liu
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