Results 151 to 160 of about 1,779,916 (322)
, 2022 Vector autoregression model VAR belongs to the most used multiple time series models mainly in field of financial econometrics. The main role of this text is to survey basic theory of VAR models and to illustrate application of theory on real data.
Jelenčiak, Jakub
core
Artificial Intelligence in Climate and Sustainable Finance: A Blessing or a Curse?
Journal of Economic Surveys, EarlyView.ABSTRACT While there are concerns regarding the sustainability of artificial intelligence (AI), it is a potential ally in the transition toward a greener future. It offers advanced tools for data analysis; risk modeling; and environmental, social, and governance (ESG) assessment.
Filippo di Pietro +3 more
wiley +1 more source
Science World JournalOutliers pose significant challenges to statistical modelling by distorting inferences and forecasts. This study examines the robustness of Vector Autoregression (VAR) and Bayesian VAR (BVAR) models in the presence of outliers, employing simulation-based analysis across varying sample sizes (small: 16–32, medium: 50–100, large: 500–1000) and outlier ...
Tobias, C.O. +3 more
openaire +2 more sources
A Comprehensive Revisit to the Safe‐Haven Assets Literature
Journal of Economic Surveys, EarlyView.ABSTRACT A large number of studies examine the safe‐haven characteristics of different asset classes. However, this paper addresses a lack of systematic literature reviews and bibliometric analyses with a sound theoretical viewpoint the safe‐haven assets literature by focusing on 1305 studies published in top‐tier journals during 2013–2026 from the ...
Javed Bin Kamal +3 more
wiley +1 more source
KETERKAITAN ANTARA NILAI TUKAR, TINGKAT SUKU BUNGA DAN INDEKS HARGA SAHAM DI INDONESIA
Jurnal Ekonomi & Studi Pembangunan, 2015 : This study examine the relation between exchange rate, interest rate, and stock price. Vector Autoregression (VAR) is employed to simultaneously estimate the dynamic relationship of the variables.
Rini Setyastuti
doaj
Monetary and Fiscal Policy on Inflation in Indonesia: Threshold Vector Autoregression Approach
Media Ekonomi dan ManajemenThe combination of monetary and fiscal policies is used to stabilize prices in Indonesia. The purpose of this study is to analyse the role of monetary and fiscal policies in stabilizing prices in Indonesia through the threshold concept.
Lilis Yuliati +2 more
doaj +1 more source
The Journal of Finance, EarlyView.ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA +2 more
wiley +1 more source
, 2009 Using the vector autoregressive methodology, we present estimates of monetary transmission for five new EU member countries in Central and Eastern Europe with more or less flexible exchange rates.
Elbourne, A., de Haan, J.
core +1 more source
Journal of Personality, EarlyView.ABSTRACT Objective Previous studies on the relationship between global (top‐down) and domain‐specific (bottom‐up) evaluations of life satisfaction have revealed mixed findings. The current study investigated the reciprocal relationship between top‐down and bottom‐up processes using two analytic methods to properly account for time‐varying predictors ...
Gabriele Prati
wiley +1 more source
Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source