Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available population covariances, then, the VAR model is identified. The present paper extends the original XYW...

This paper addresses the issue of testing the ‘hybrid’ New Keynesian Phillips Curve (NKPC) through Vector Autoregressive (VAR) systems and likelihood methods, giving special emphasis to the case where the variables are non-stationary. The idea is to use a VAR for both the inflation rate and the explanatory variable(s) to approximate the dynamics of the system and derive testable restrictions. A...

The objective and subjective classification of unvoiced stop consonants in varying vowel contexts were studied. The objective classification was based on auditory feature vectors obtained by warped linear prediction (WLP) and vector autoregressive (VAR) models for parameter trajectories. In the case of known vowel the unvoiced consonants were classified 98-100% correctly based on the auditory s...

We develop a technique to exploit forecast error variance decompositions evaluate the macroeconomic connectedness embedded in any multi-country model with an approximate vector autoregressive (VAR) representation. apply our large global VAR covering 25 countries and derive vivid representations of connectedness. find that US exerts dominant influence economy Brazil, China, Eurozone are also glo...

Purpose The paper evaluates the cross-transmission of returns and volatility shocks between Nigeria South Africa stock markets to infer extent interdependence two markets. also makes inference optimal portfolio weights holding assets in Design/methodology/approach uses an asymmetric vector autoregressive-exogenous generalised autoregressive conditional heteroscedasticity (VAR-X GARCH) model ass...

This study examines the impact of oil price volatility on macroeconomic variables of the economy of Pakistan. We employed the Glosten, Jagannathan and Runkle (GJR) and Vector Autoregressive (VAR) models. The outcomes of the GJR model show the symmetric effect of oil price shock on conditional variance. Whereas Impulse Response Functions (IRFs) show the hostile effect on the employment and the o...

This paper studies the effect of market structure and macroeconomic uncertainty on the transmission of monetary policy. We motivate our analysis with a simple model which predicts that: 1) investment and production in more concentrated sectors are more affected by demand changes and 2) high uncertainty makes investment and production more sensitive to demand changes. The empirical analysis esti...

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space allowing for a low dimensional factor representation of th...

This paper examines empirically the causal relationship among the degree of openness of the economy, financial development and economic growth by using a multivariate autoregressive VAR model in Greece for the examined period 1960:Ι – 2000:IV. The results of cointegration analysis suggest that there is one cointegrated vector among GDP, financial development and the degree of openness of the ec...

This study employs the vector autoregressive model (VAR), impulse response function and variance decomposition to impact of oil price shocks on components government spending both oil-exporting importing countries over period from 1980 2018. While vast majority previous studies focused spending, this emphasized these current capital expenditure. It was found that affect expenditure positively i...