This study is a specific contribution to investigating normalities in prices well-established cointegrated vector autoregressive model (VAR). While the role of computational economics has been investigated, real vis-à-vis nominal decision process neglected. The paper investigates transition from time-series without losing information data set when deflating or de-seasonalizing. likelihood appro...

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework (APF), we propose a novel mean-VaR op...

Abstract This paper studies the role of monetary policy for dynamics US mortgage debt, which accounts largest part household debt. A time-varying parameter vector autoregressive (VAR) model allows us to study variation in sensitivity debt policy. We find that an identically sized shock became less effective over time. use a dynamic stochastic general equilibrium show fall share adjustable rate ...

Arbitrage Pricing Theory (APT) is a pricing model that can be used to determine the expected return of security. It assumes there more than one factor affecting return. The risk APT part sensitivity macroeconomic factors identification affect security returns most important stages modeling. This because does not specify how on One method identify Vector Autoregressive (VAR). An overview relatio...

This paper focused on the sustainability of impact Russia-Ukraine conflict military spending NATO allies. As Russia launched a "special operation" in Ukraine February 2022, allies announced their intention to significantly increase response "threat" from Russia. However, under stimulation conflict, it is uncertain whether defense budget spree can be sustained. Based this, this analyzed NATO's c...

Article history: Received 11 October 2012 Received in revised form 3 November 2014 Accepted 3 November 2014 Available online 11 November 2014 In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant response of stock returns and volatility to monetary policy shocks. While t...

We propose a generic approach to inference in the non-linear, non-Gaussian state space model. This approach builds on recent developments in precision-based algorithms to estimating general state space models with multivariate observations and states. The baseline algorithm approximates the conditional distribution of the states by a multivariate t density, which is then used for integrated lik...

This paper analyzes the relationships between bilateral trade and economic growth in the U.S. and Korean economies. Using quarterly data from 1990 to 2008, the theoretical procedures utilize Ordinary Least Square (OLS) and Seemingly Unrelated Regression (SUR) models under the static model assumption, an Impulse Response Function (IRF) and Forecast Error Variation Decomposition (FEVD) under the ...

In this work we investigate the generic properties of a stochastic linear model in the regime of high dimensionality. We consider in particular the vector autoregressive (VAR) model and the multivariate Hawkes process. We analyze both deterministic and random versions of these models, showing the existence of a stable phase and an unstable phase. We find that along the transition region separat...