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   Articles with "var models" as a keyword



Bayesian nonparametric vector autoregressive models

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recommendations! Published in 2018 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2017.11.009

Abstract: Vector autoregressive (VAR) models are the main work-horse models for macroeconomic forecasting, and provide a framework for the analysis of complex dynamics that are present between macroeconomic variables. Whether a classical or a Bayesian approach… read more here.

Keywords: bayesian nonparametric; model; var models; vector autoregressive ... See more keywords

Bayesian nonparametric sparse VAR models

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recommendations! Published in 2019 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2019.04.022

Abstract: High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparametric (BNP) Lasso prior (BNP-Lasso) for high-dimensional VAR models… read more here.

Keywords: var models; bayesian nonparametric; var; bnp lasso ... See more keywords

Forecasting crude oil real prices with averaging time-varying VAR models

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recommendations! Published in 2021 at "Resources Policy"

DOI: 10.1016/j.resourpol.2021.102244

Abstract: Abstract The aim of this research is to discuss the ability to forecast real crude oil price by the use of Time-Varying Vector Autoregression (TVP-VAR) models. In particular, model averaging and model selection schemes over… read more here.

Keywords: time; var models; time varying; model ... See more keywords

Subgrouping with Chain Graphical VAR Models

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recommendations! Published in 2024 at "Multivariate Behavioral Research"

DOI: 10.1080/00273171.2023.2289058

Abstract: Abstract Recent years have seen the emergence of an “idio-thetic” class of methods to bridge the gap between nomothetic and idiographic inference. These methods describe nomothetic trends in idiographic processes by pooling intraindividual information across… read more here.

Keywords: graphical var; var models; scgvar; subgrouping chain ... See more keywords

Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand’s Transportation Sector during COVID-19

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recommendations! Published in 2024 at "Risks"

DOI: 10.3390/risks12030051

Abstract: The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of potential investment losses. Predominantly employed within financial sectors, it aids in adhering to regulatory mandates and in devising… read more here.

Keywords: var models; garch; var; risk ... See more keywords