Results 211 to 220 of about 98,361 (266)

Smoking hot joint models for attrition bias-XMAR-ks the spot. [PDF]

Am J Epidemiol
Griswold ME, Varadhan R.
europepmc   +1 more source

Editorial: introduction to the special issue "methodological challenges of complex latent mediator and moderator models". [PDF]

Behav Res Methods
Irmer JP, Schermelleh-Engel K, Schmidt P.   +2 more
europepmc   +1 more source

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Markov-switching mixed-frequency VAR models

International Journal of Forecasting, 2015
Abstract This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by discussing estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments.
Claudia Foroni, Pierre Guerin, Massimiliano Marcellino   +2 more
exaly   +5 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
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Estimation of VAR Models Computational Aspects

Computational Economics, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Foschi, P., Kontoghiorghes, E. J.
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A comparison of GARCH models for VaR estimation

Expert Systems with Applications, 2010
This study is an attempt to compare a comprehensive list of GARCH models in quantifying risks of VaR under stress times. We gather data of stock market indices from both emerging (Brazil and Turkey) and developed (Germany and the USA) markets, over the period of global financial crisis and make use of numerous GARCH specifications to return VaR values.
Mehmet Orhan, Bülent Köksal
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From VAR models to Structural VAR models

1997
In this chapter we introduce the philosophy, the basic concepts and definitions of VAR analysis (sections 1.1 and 1.2). After that, in section 1.3 we discuss the problems of VAR estimation and in section 1.4 we describe the possible uses of VAR models. Then in section 1.5 we start dealing with Structural VAR analysis, pointing out the main features of ...
Gianni Amisano, Carlo Giannini
openaire   +1 more source