Results 21 to 30 of about 98,361 (266)
Economics and Business Review, 2018 Dynamic macroeconomic models (both VAR and DSGE) currently play a very significant role in macroeconomic modelling. But these types of models rarely take into account the impact of financial markets on the behaviour of economies, they are rather more ...
Ulrichs Magdalena
doaj +1 more source
Computation, 2023 Several studies estimate the volatility spillover effects between gold and silver returns, but none of them used the implied volatility to evaluate the long-term relationship between these two metal markets.
Alexandros Koulis +1 more
doaj +1 more source
Regularizing priors for Bayesian VAR applications to large ecological datasets [PDF]
PeerJ, 2022 Using multi-species time series data has long been of interest for estimating inter-specific interactions with vector autoregressive models (VAR) and state space VAR models (VARSS); these methods are also described in the ecological literature as ...
Eric J. Ward +2 more
doaj +2 more sources
An Alternative VAR Model for Forecasting Iranian Inflation: An Application of Bewley Transformation [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2011 This paper focuses on the development of modern non-structural dynamic multivariate time series models and evaluating performance of various alternative specifications of these models for forecasting Iranian inflation.
Hassan Heydari
doaj
Kalman Filter or VAR Models to Predict Unemployment Rate in Romania?
Naše Gospodarstvo, 2015 This paper brings to light an economic problem that frequently appears in practice: For the same variable, more alternative forecasts are proposed, yet the decision-making process requires the use of a single prediction.
Simionescu Mihaela
doaj +1 more source
Daily value-at-risk modeling and forecast evaluation: The realized volatility approach
Journal of Finance and Data Science, 2016 One of the main applications of conditional volatility modeling and forecasting of financial assets is the value-at-risk (VaR) estimation that is used by financial institutions for reporting the daily capital in risk.
Zhen Yao Wong +2 more
doaj +1 more source
The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic
Risks, 2021 Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation.
Danai Likitratcharoen +3 more
doaj +1 more source
A Gibbs Simulator for Restricted VAR Models [PDF]
SSRN Electronic Journal, 2000 Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of linear restrictions than those in the existing literature.
Daniel F. Waggoner, Tao Zha
openaire +3 more sources
ANALYSIS OF THE MOST COMMON CALCULATION METHODS “VALUE AT RISK, VAR”
Фінансово-кредитна діяльність: проблеми теорії та практики, 2022 The Regulation of the National Bank of Ukraine on Risk Management in Ukrainian Banks stipulates that this Regulation obliges banks to use the VaR methodology to assess market risk.
Олена Pavliuk, Tetiana Melnyk
doaj +1 more source
Artificial Intelligence in Geosciences, 2021 Derivative and volatility attributes can be usefully calculated from recorded gamma ray (GR) data to enhance lithofacies classification in wellbores penetrating multiple lithologies.
David A. Wood
doaj +1 more source