JSTOR Daily

A Fast Algorithm for the Exact Likelihood of Stationary and Partially Nonstationary Vector Autoregressive-Moving Average Processes

This is a preview. Log in through your library . Abstract An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very ...
Simon Fraser University

Preliminary Autoregressive Models

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 ...
International Monetary Fund

Probabilistic Sustainability of Public Debt: A Vector Autoregression Approach for Brazil, Mexico, and Turkey

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...
Risk

Large vector autoregressive exogenous factor (VARX) model with network regularization

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 ...
Risk

Systemic risk and the sovereign-bank default nexus: a network vector autoregression approach

Using the generalized value-at-risk method of Diebold and Yilmaz in their 2009 paper "Measuring financial asset return and volatility spillovers, with application to global equity markets" to measure ...
Insurancenewsnet.com

Kwansei Gakuin University Researcher Provides New Study Findings on Risk Management (A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive ...

2024 FEB 06 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- Investigators publish new report on risk management. According to news originating from Hyogo, Japan, by NewsRx ...
International Monetary Fund

Probabilistic Sustainability of Public Debt: A Vector Autoregression Approach for Brazil, Mexico, and Turkey

Abstract: This paper examines the sustainability of fiscal policy under uncertainty in three emerging market countries—Brazil, Mexico, and Turkey. For each country, we estimate a vector autoregression ...