Results 231 to 240 of about 24,674,854 (304)

Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?

International Review of Financial Analysis, 2019
It is universally acknowledged that both linear Vector Autoregressive (VAR) models and nonlinear econometric frameworks, such as Markov Regime Switching (MRS) model, can produce appropriate portfolio allocations that hedge against the bullish and bearish
Yue-Jun Zhang
exaly   +2 more sources

Stability in Threshold VAR Models

Studies in Nonlinear Dynamics & Econometrics, 2023
Abstract This paper investigates the stability of threshold autoregressive models. We review recent research on stability issues from both a theoretical and empirical standpoint. We provide a sufficient condition for the stationarity and ergodicity of threshold autoregressive models by applying the concept of joint spectral radius to ...
Chen, Pu, Semmler, Willi
openaire   +1 more source

Exploring the influence of economic policy uncertainty on the relationship between tourism and economic growth with an MF-VAR model

Tourism Economics, 2020
Using a mixed-frequency vector autoregressive (MF-VAR) model, this article attempts to determine whether or not the relationship between tourism and economic growth changes in the presence or absence of economic policy uncertainty (EPU) shock.
Han Liu, Y. Liu, Yonglian Wang
semanticscholar   +1 more source

Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model

, 2020
This paper investigates the effects of oil supply and demand shocks on the current account balances of China and Russia for the period between the first quarter of 1993 and the third quarter of 2018 using a time-varying parameter vector autoregression ...
Esra Ballı, A. Çatık, J. Nugent
semanticscholar   +1 more source

Multiple relationships between fixed-asset investment and industrial structure evolution in China–Based on Directed Acyclic Graph (DAG) analysis and VAR model

, 2020
Industrial structure can describe not only the structural relationships between industrial output capacities, but also the structural relationships between industrial economic outputs.
Rui Wang, Zhong-ying Qi, Yu Shu
semanticscholar   +1 more source

The dynamic relationships among CO2 emissions, renewable and non-renewable energy sources, and economic growth in India: Evidence from time-varying Bayesian VAR model

Structural Change and Economic Dynamics, 2019
We apply a three-variable VAR model with probabilistic variability using a time-varying parametric approach to determine the dynamic interactions among GDP growth, energy use by renewable energy sources (RES, wind, solar, or hydro) and non-renewable ...
S. Kang, Faridul Islam, A. Tiwari
semanticscholar   +1 more source

MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL

ASTIN Bulletin: The Journal of the International Actuarial Association, 2020
This paper investigates a high-dimensional vector-autoregressive (VAR) model in mortality modeling and forecasting. We propose an extension of the sparse VAR (SVAR) model fitted on the log-mortality improvements, which we name “spatially penalized ...
Le Chang, Yanlin Shi
semanticscholar   +1 more source