Simon Fraser University

Autoregressive Moving Average Error Processes

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 ...
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

Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the ...
International Monetary Fund

Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis

Sub-Saharan African countries are exposed to spillovers from global financial variables, but the impact on economic activity is more significant in more financially developed economies. Generalized ...
Risk

Stress-Testing Banks’ Credit Risk Using Mixture Vector Autoregressive Models

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RIETI独立行政法人経済産業研究所

Asymmetric Exchange Rate Pass-Through in Japanese Exports: Application of the threshold vector autoregressive model

This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...