نتایج جستجو برای: مدل var vector autoregressive model

تعداد نتایج: 2394632  

Journal: :اقتصاد و توسعه کشاورزی 0
اسماعیل پیش بهار قادر دشتی رویا فردوسی

there are different ideas and opinions about the effects of macroeconomic variables on real and nominal variables. to answer the question of whether changes in macroeconomic variables as a political tool is useful over a business cycle, understanding the effect of macroeconomic variables on economic growth is important. in the present study, the bayesian vector autoregresive model and seasonali...

1998
Geoff Kenny Aidan Meyler Terry Quinn

In this paper we focus on the development of multiple time series models for forecasting Irish Inflation. The Bayesian approach to the estimation of vector autoregressive (VAR) models is employed. This allows the estimated models combine the evidence in the data with any prior information which may also be available. A large selection of inflation indicators are assessed as potential candidates...

2010
Stefan Haufe Klaus-Robert Müller Guido Nolte Nicole Krämer

Our goal is to estimate causal interactions in multivariate time series. Using vector autoregressive (VAR) models, these can be defined based on non-vanishing coefficients belonging to respective time-lagged instances. As in most cases a parsimonious causality structure is assumed, a promising approach to causal discovery consists in fitting VAR models with an additional sparsity-promoting regu...

2013
Pablo Morales-Mombiela Daniel Hernández-Lobato Alberto Suárez

The problem of detecting the direction of time in vector Autoregressive (VAR) processes using statistical techniques is considered. By analogy to causal AR(1) processes with non-Gaussian noise, we conjecture that the distribution of the time reversed residuals of a linear VARmodel is closer to a Gaussian than the distribution of actual residuals in the forward direction. Experiments with simula...

2004
Matteo Manera Michael McAleer Margherita Grasso

This paper estimates the dynamic conditional correlations in the returns on Tapis oil spot and onemonth forward prices for the period 2 June 1992 to 16 January 2004, using recently developed multivariate conditional volatility models, namely the Constant Conditional Correlation Multivariate GARCH (CCCMGARCH) model of Bollerslev [1990], Vector Autoregressive Moving Average – GARCH (VARMAGARCH) m...

Journal: :Economic Journal of Emerging Markets 2022

Purpose ― This article explores the causal link between stock and currency returns in The Middle Eastern North African (MENA) countries from January 2011 through February 2020. Methods study uses Vector autoregressive (VAR) Markov switching vector (MS-VAR) models to investigate dynamic causality equity exchange rate markets. Findings Results indicate that this relation depends on state of Furth...

2000
Søren Johansen

A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends Ž . are defined. The statistical model for cointegrated I 1 variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is b...

Journal: :International Journal of Science, Technology and Society 2023

The geographical situation in Europe of Estonia, Latvia and Lithuania, the Three Baltic States, forms an optimal environment for study economic relationships present among them. global magnitudes are very similar three with a little difference favor Lithuania regarding population extension. States joined European Union at same time, May 1, 2004. A vector autoregressive model, VAR relating econo...

Journal: :Journal of Applied Econometrics 2021

Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models. But at the same time, they introduce restriction that each equation features set of explanatory variables. This paper proposes a straightforward means postprocessing posterior estimates conjugate Bayesian VAR to effectively perform equation-specific covariate selection. Compared with existing tech...

2008
Volatility Strings Ralf Brüggemann Wolfgang Härdle Julius Mungo Carsten Trenkler

The implied volatility of an 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 these dyn...

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