Results 101 to 110 of about 1,779,916 (322)
Sparse Graphical Vector Autoregression: A Bayesian Approach
, 2014 In high-dimensional vector autoregressive (VAR) models, it is natural to have large number of predictors relative to the observations, and model selection is often a difficult issue.
AHELEGBEY, DANIEL FELIX +6 more
core +1 more source
, 2011 1 Introduction 1.1 Structure of the Chapter 1.2 Terminology, Notation and General Assumptions 2 VAR Processes 2.1 The Reduced Form 2.2 Structural Forms 3 Estimation of VAR Models 3.1 Classical Estimation of Reduced Form VARs 3.2 Bayesian Estimation of Reduced Form VARs 3.3 Estimation of Structural VARs 4 Model Specification 5 Model Checking 5.1 Tests ...
openaire +3 more sources
Investigating proxies for retail investor attention in financial markets
Accounting &Finance, Volume 65, Issue 1, Page 521-550, March 2025.Abstract Investor attention influences financial markets but “depends on where you search” (Ben‐Rephael et al., The Review of Financial Studies, 2017, 30, 3009). We explore various retail investor attention proxies and their correlations with company characteristics and market reactions.
Daniel Cahill +2 more
wiley +1 more source
The Contemporaneous Correlation of Structural Shocks and Inflation— Output Variability in Pakistan [PDF]
Monetary policy has changed in a number of ways during the last two decades . Along with the other characteristics, modern monetary policy is forward-looking, and the central banks respond contemporaneously to structural shocks that are expected to make ...
Muhammad Nasir, Wasim Shahid Malik
core
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
Austrian Journal of Statistics, 2017 We consider a vector autoregression model with exogenous variables and Markov-switching regimes to describe complex systems with cyclic changes of states.
Vladimir Malugin, Alexander Novopoltsev
doaj +1 more source
Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error. [PDF]
Stat Sin, 2023 Lyu X, Kang J, Li L.
europepmc +1 more source
Monetary Policy, Investor Sentiment and Stock Price Bubble: Evidence From China
Accounting &Finance, EarlyView.ABSTRACT The empirical results indicate that an increase in interest rates may stimulate a significant and persistent stock price bubble, which is consistent with rational asset price bubble theory. This finding suggests that central banks should implement anti‐turbulent monetary policy with caution, since inappropriate tightening may unintentionally ...
Jiahao Gong +3 more
wiley +1 more source
A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area [PDF]
Vector-autoregression (VAR) forecast models have been developed for many state economies, including the three states in the Third Federal Reserve District--Pennsylvania, New Jersey, and Delaware.
Theodore M. Crone, Michael P. McLaughlin
core
Asia-Pacific Journal of Financial Studies, EarlyView.Abstract This study develops an explainable machine learning model to predict cryptocurrency delistings using Binance data. It combines quantitative indicators (price, volume) with qualitative data from real‐time news and Reddit. Latent Dirichlet Allocation (LDA) is used to extract topic trends and community reactions, which are transformed into time ...
Sungju Yang, Hunyeong Kwon
wiley +1 more source