Results 261 to 270 of about 24,674,854 (304)

Model Validation - VaR-Model

SSRN Electronic Journal, 2022
André Miemiec, Kerstin Steinberg
openaire   +1 more source

VaR Modelling on Long Run Horizons

Automation and Remote Control, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Economics of Var Models

1995
In the minds of some economic theorists and traditional econometricians, the vector autoregressive (VAR) approach to time-series data is unscientific, obscure, confusing, or simply wrong. Since the publication of Sims’s original contributions (1972, 1980a, 1980b, 1982), the methodology has spurred endless debates. Critics claim that the methodology has
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Model Reduction in Cointegrated VAR Models

2004
Cointegrated vector autoregressive models have become a standard modeling tool in applied econometric time series analysis during the last decade. Therefore, in this chapter we explore the possibilities to extend the model selection strategies suggested in Chapter 2 to cointegrated VAR models.
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VAR modelling and Haavelmo's probability approach to macroeconomic modelling

Empirical Economics, 1993
Some recent developments in the macroeconometric analysis of time series are discussed in the light of Haavelmo (1944). Experimental design in econometrics is discussed and related to the case of passive observation. The general ideas are illustrated with a analysis of the long-run and short-run structure in Danish monetary data.
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Exploring the influence of economic policy uncertainty on the relationship between tourism and economic growth with an MF-VAR model

Tourism Economics, 2021
Han Liu, Yonglian Wang, Han Liu
exaly  

Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model

, 2017
Christina Christou, J. Cuñado, Rangan Gupta, C. Hassapis   +3 more
semanticscholar   +1 more source

Panel VAR models with spatial dependence [PDF]

, 2002
I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a spatial autoregressive process. I propose a three-step estimation procedure. Its first step is an instrumental variable estimation that ignores the spatial correlation.
openaire   +2 more sources

Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model

, 2016
Z. Alsalman
semanticscholar   +1 more source

Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model

, 2018
Henri Nyberg
semanticscholar   +1 more source