Estimating VAR-MGARCH models in multiple steps

On Spatial Contagion and mGARCH models

We propose a method for defining and measuring the spatial contagion between two financial markets. Next we investigate which from the large family of multivariate GARCH models is the best tool for modeling spatial contagion.

Assessing Experimental and Intelligent Models in Estimating Reference Evapotranspiration

Introduction: As the most important element in the hydrologic cycle which depends on climate variables such as near-ground wind speed, air temperature, solar radiation, and relative humidity,  reference evapotranspiration (ET0) is normally computed through a variety of methods, each of which requires different and in some cases extensive data that are unavailable in many circumstances, especial...

Robust estimates for VAR models

In this talk we propose a family of robust estimate for vector autoregressive models. These estimates are MM-estimates containing an additional mechanism that prevents the propagation of outliers through subsequent periods. This mechanism is based on an adaptive procedure for computing the innovation residuals. When there are no outliers, the residuals are computed using the standard procedure ...

Forecasting in VAR models with large datasets

This paper deals with model selection and forecasting in vector autoregressions (VARs) in situations where the set of available predictors is inconveniently large to accommodate with methods and diagnostics used in traditional small-scale models. Available information over this large dataset can be summarized into a considerably smaller set of variables through factors estimated by the dynamic ...

Econometrics Lecture 9: Cointegration in VAR Models