Results 21 to 30 of about 3,856 (236)
Model uncertainty in Panel Vector Autoregressive models [PDF]
European Economic Review, 2014 We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities across cross-sectional units.
Koop, Gary, Korobilis, Dimitris
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A Hybrid VARX–SVM Framework for Financial Time Series Forecasting: Evidence from the EGX30 Index [PDF]
المجلة العلمية للدراسات والبحوث المالية والتجاريةTraditional econometric models, such as Autoregressive Integrated Moving Average (ARIMA), Vector Autoregression (VAR) and Vector Autoregression with Exogenous Variables (VARX) models, have long been the cornerstone of time series analysis.
Tarek Yehia Yousef Elorbany +1 more
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Are life insurance futures a safe haven during COVID-19?
Financial Innovation, 2023 This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic.
Kuan-Min Wang, Yuan-Ming Lee
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Opportunities for modelling inflation processes in Lithuania
Lietuvos Matematikos Rinkinys, 2009 Inflation is a constant and consistent increase in the general price level in the country, due to which the purchasing power of a national currency unit decreases. In practice, the measures of inflation are various price indices, such as a consumer price
Ana Čuvak, Žilvinas Kalinauskas
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Buletin Ekonomi Moneter dan Perbankan, 2006 The paper analyzes the monetary policy behavior by developing a long-run structural macroeconometric model; the Structural Cointegrating Vector Autoregression. The model is empirically proposed by Garratt et. al.
Solikin M. Juhro
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Bayesian Nonparametric Vector Autoregressive Models [PDF]
SSRN Electronic Journal, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kalli, M, Griffin, JE
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Media Ekonomi dan Manajemen, 2018 This study purposed to identify overconfidence behavior investor in Indonesia Stock Exchange from 2014 until 2016. Overconfidence is a psychological bias that can cause investors to excessive trading as the effect of the belief that they have specific ...
Indri Hartiyaningsih, Yanuar Rachmansyah
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Panel Vector Autoregressive Models: A Survey [PDF]
SSRN Electronic Journal, 2013 This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is performed, and compares panel VARs to other approaches used in ...
Canova, Fabio, Ciccarelli, Matteo
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Inflation Forecasting: The Practice of Using Synthetic Procedures
Мир новой экономики, 2019 The article contains a review of inflation forecasting models, including the most popular class of models as one-factor models: random walk, direct autoregression, recursive autoregression, stochastic volatility with an unobserved component and of the ...
E. V. Balatskiy, M. A. Yurevich
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A Time-Varying Bayesian Compressed Vector Autoregression for Macroeconomic Forecasting
IEEE Access, 2020 This paper presents macroeconomic forecasting by using a time-varying Bayesian compressed vector autoregression approach. We apply a random compression by using projection matrix to randomly select predictive variables in vector autoregression (VAR), and
Nattapol Aunsri +1 more
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