The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
American Journal of Agricultural Economics, Vol. 97, No. 5 (October 2015), pp. 1494-1511 (18 pages) Food commodity price fluctuations have an important impact on poverty and food insecurity across the ...
This paper derives the asymptotic mean square error of multistep prediction for the general vector autoregressive process. For one-step-ahead prediction the result is ...
A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
Severe financial turbulence is driven by high impact and low probability events that are the hallmarks of systemic financial stress. These unlikely adverse events arise from the extreme tail of a ...
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...
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